Modelling Realized Variance when Returns are Serially Correlated

  title={Modelling Realized Variance when Returns are Serially Correlated},
  author={Roel C. A. Oomen},
This article examines the impact of serial correlation in high frequency returns on the realized variance measure. In particular, it is shown that the realized variance measure yields a biasedestimate of the conditional return variance when returns are serially correlated. Using 10 years of FTSE-100minute by minute data we demonstrate that a careful choice of sampling frequency is crucial in avoiding substantial biases. Moreover, we find that the autocovariances of returns disappears under… CONTINUE READING
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