Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.
We consider kernel-based estimators of integrated variances in the presence of independent market microstructure effects. We derive the bias and variance properties for all regular kernel-based estimators and derive a lower bound for their asymptotic variance. Further we show that the subsample-base...
| Main Authors: | , , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
2004
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