At-Sahalia, Yacine; Mancini, Loriano - Institut für Schweizerisches Bankwesen <Zürich> - 2006
We compare the forecasts of Quadratic Variation given by Realized Volatility (RV) and Two Scales Realized Volatility (TSRV) computed from high frequency data in the presence of market microstructure noise, under several different dynamics for the volatility process and assumptions on the noise....