Christensen, Kim; Podolskij, Mark; Vetter, Mathias - Institut für Wirtschafts- und Sozialstatistik, … - 2006
Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized range-based variance and propose a bias-correction to...
