Integrated volatility measuring from unevenly sampled observations

Taro Kanatani ()
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Taro Kanatani: Graduate School of Economics, Kyoto University

Economics Bulletin, 2004, vol. 3, issue 36, 1-8

Abstract: This paper derives the linear interpolation bias of realized volatility. To avoid the bias, the Fourier series estimator has been proposed by Malliavin and Mancino (2002). We examine the theoretical relationship between the Fourier estimator and realized volatility and show that the latter is the most efficient estimator in the class of the former.

JEL-codes: C1 C5 (search for similar items in EconPapers)
Date: 2004-10-08
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Citations: View citations in EconPapers (4)

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