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...Expand abstract
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Estimating Quadratic Variation Using Realized Variance.
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