Rejoinder (to Comments on Realized Variance and Market Microstructure Noise)

23 Pages Posted: 3 Jan 2006

See all articles by Peter Reinhard Hansen

Peter Reinhard Hansen

University of North Carolina (UNC) at Chapel Hill - Department of Economics; Copenhagen Business School, Finance; Aarhus University - CREATES

Asger Lunde

Aarhus University - School of Business and Social Sciences; CREATES

Date Written: January 3, 2006

Abstract

This rejoinder clarifies issues related to the features of market microstructure noise. Specifically, we show that pre-processing of high-frequency data is very useful for the estimation of quadratic variation. We also document a strong relationship between quadratic variation and the number of transactions.

Keywords: Realized Variance, Market Microstructure Noise, Pre-processing of High-Frequency data, outliers, sampling schemes

JEL Classification: C10, C22, C80

Suggested Citation

Hansen, Peter Reinhard and Lunde, Asger and Lunde, Asger, Rejoinder (to Comments on Realized Variance and Market Microstructure Noise) (January 3, 2006). Available at SSRN: https://ssrn.com/abstract=873397 or http://dx.doi.org/10.2139/ssrn.873397

Peter Reinhard Hansen (Contact Author)

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )

Chapel Hill, NC 27599
United States

HOME PAGE: http://https://sites.google.com/site/peterreinhardhansen/

Copenhagen Business School, Finance ( email )

Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark

Aarhus University - CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

Asger Lunde

Aarhus University - School of Business and Social Sciences ( email )

Aarhus
Denmark

CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

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