Bias-correcting the realized range-based variance in the presence of market microstructure noise
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Publication:964674
DOI10.1007/s00780-009-0089-9zbMath1189.62182MaRDI QIDQ964674
Kim Christensen, Mark Podolskij, Mathias Vetter
Publication date: 22 April 2010
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-009-0089-9
62P20: Applications of statistics to economics
62E20: Asymptotic distribution theory in statistics
65C05: Monte Carlo methods
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