Comment on “ Realized variance and market microstructure noise
نویسندگان
چکیده
Exploring a possible correlation between the efficient price and the noise, as HL do, is an exciting and challenging task. By examining the volatility signature plots of trades and quotes, HL report that RV estimates based on quotes at very high frequency decrease. This is different from many earlier findings on volatility signature plots based on transaction prices. It is important to figure out how much of that is driven by the pre-processing of the data in the HL paper, and we discuss below the role that this might have played in delivering that result.
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Comment on “ An unbiased measure of realized variance ” and “ Realized variance and market microstructure noise ”
If efficient asset prices follow a semi-martingale and are perfectly observed, their quadratic variation can be measured accurately from the sum of a large number of squared returns sampled over very finely spaced intervals, i.e., realized variance (Andersen et al., 2003, and Barndorff-Nielsen and Shephard, 2002). With the emergence of high-frequency data, it seems that we should be able to ide...
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