Bias-correcting the realized range-based variance in the presence of market microstructure noise
- Journal Article
Journal / seriesFinance and Stochastics
SubjectBias correction; Integrated variance; Market microstructure noise; Realized range-based variance; Realized variance
NotesReceived 16 March 2007, Accepted 29 September 2008, Published online 30 January 2009.
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