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Estimating Quadratic Variation Using Realized Variance.

Abstract:

This paper looks at some recent work on estimating quadratic variation using realized variance (RV)--that is, sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high-frequency financial return data. When the underlying process is a semimartingale we recall the fundamental result that RV is a consistent (as M approaches infinity) estimator of quadratic variation (QV). We express concern that without additional assumptions it seems diffic...

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Publisher copy:
10.1002/jae.691

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Journal:
Journal of Applied Econometrics
Volume:
17
Issue:
5
Publication date:
2002-01-01
DOI:
URN:
uuid:997044d9-d3c7-420e-aad2-f97ca039ba93
Local pid:
oai:economics.ouls.ox.ac.uk:14172
Language:
English

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