Huang, Shirley J.; Liu, Qianqiu; Yu, Jun - In: Annals of Economics and Finance 8 (2007) 1, pp. 33-56
In this paper the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang,...
