An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data
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More about this item
Keywordshigh-frequency data; market microstructure noise; realized volatility; Japanese stock markets; variance of realized variance;
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-03-07 (All new papers)
- NEP-ECM-2009-03-07 (Econometrics)
- NEP-ETS-2009-03-07 (Econometric Time Series)
- NEP-FMK-2009-03-07 (Financial Markets)
- NEP-MST-2009-03-07 (Market Microstructure)
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