Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes

@inproceedings{Oomen2005PropertiesOB,
  title={Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes},
  author={Roel C. A. Oomen},
  year={2005}
}
In this paper I study the statistical properties of a bias corrected realized variance measure when high frequency asset prices are contaminated with market microstructure noise. The analysis is based on a pure jump process for asset prices and explicitly distinguishes among different sampling schemes, including calendar time, business time, and transaction time sampling. Two main findings emerge from the theoretical and empirical analysis. Firstly, based on the mean squared error criterion, a… CONTINUE READING

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