Rejoinder (to Comments on Realized Variance and Market Microstructure Noise)
23 Pages Posted: 3 Jan 2006
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: Suggested Citation
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