Bias-Corrected Realized Variance under Dependent Microstructure Noise
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KeywordsRealized variance; Dependent microstructure noise; Two-time scales;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
- NEP-ECM-2009-12-19 (Econometrics)
- NEP-MST-2009-12-19 (Market Microstructure)
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