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Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.

Abstract:

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-based estimator is closely related to a Bartlett-type kernel estimator. The small difference between the two estimators due to end effects, turns out to be key for the consistency of the subsampling es...

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Publication date:
2004-01-01
URN:
uuid:7a565282-4377-43d1-b10b-956a298d6dea
Local pid:
oai:economics.ouls.ox.ac.uk:11888
Language:
English

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