Bias-correcting the realized range-based variance in the presence of market microstructure noise

Kim Christensen (), Mark Podolskij () and Mathias Vetter ()

Finance and Stochastics, 2009, vol. 13, issue 2, 239-268

Keywords: Bias correction; Integrated variance; Market microstructure noise; Realized range-based variance; Realized variance; 62E20; 62P20; C10; C80 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (21)

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DOI: 10.1007/s00780-009-0089-9

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