Bias-correcting the realized range-based variance in the presence of market microstructure noise

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Bias-correcting the realized range-based variance in the presence of market microstructure noise

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Kim Christensen ()
Mark Podolskij ()
Mathias Vetter ()

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Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 13 (2009)
Issue (Month): 2 (April)
Pages: 239-268
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Handle: RePEc:spr:finsto:v:13:y:2009:i:2:p:239-268

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References listed on IDEAS
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Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January. [Downloadable!] (restricted)
Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January. [Downloadable!] (restricted)
Martens, Martin & van Dijk, Dick, 2007. "Measuring volatility with the realized range," Journal of Econometrics, Elsevier, vol. 138(1), pages 181-207, May. [Downloadable!] (restricted)
Christensen, Kim & Podolskij, Mark, 2007. "Realized range-based estimation of integrated variance," Journal of Econometrics, Elsevier, vol. 141(2), pages 323-349, December. [Downloadable!] (restricted)
Michael W. Brandt & Francis X. Diebold, 2006. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," Journal of Business, University of Chicago Press, vol. 79(1), pages 61-74, January. [Downloadable!]
Other versions:
- Michael W. Brandt & Francis X. Diebold & April, . "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," Center for Financial Institutions Working Papers 03-15, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
- Michael W. Brandt & Francis X. Diebold, 2003. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," NBER Working Papers 9664, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Michael W. Brandt & Francis X. Diebold, 2001. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," PIER Working Paper Archive 03-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Apr 2003. [Downloadable!]
- Michael W. Brandt & Francis X. Diebold, 2004. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," CFS Working Paper Series 2004/07, Center for Financial Studies. [Downloadable!]
Ole E. Barndorff-Nielsen & Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280. [Downloadable!] (restricted)
Other versions:
- Neil Shephard & Ole Barndorff-Nielsen, 2001. "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers 071, University of Oxford, Department of Economics. [Downloadable!]
- Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001. [Downloadable!]
Ole E. Barndorff-Nielsen, 2004. "Power and Bipower Variation with Stochastic Volatility and Jumps," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 1-37. [Downloadable!] (restricted)
Other versions:
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Power and bipower variation with stochastic volatility and jumps," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]

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