Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies

Dong Wan Shin and Sangun Park

Economics Letters, 2012, vol. 115, issue 3, 334-337

Abstract: Efficiency of the realized variance of an asset is improved by taking advantage of another asset whose return is cross-sectionally correlated with that of the asset and is less sensitive to market microstructure noises permitting higher frequency sampling than the original asset.

Keywords: Efficiency; Factoring likelihood; Realized variance (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:3:p:334-337

DOI: 10.1016/j.econlet.2011.12.113

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