Properties of realized variance under alternative sampling schemes

Article Abstract:

The utility of the pure jump process for optimal sampling of high-frequency data, to examine the properties of realized variance of stock prices under alternative sampling schemes, is examined.

United Kingdom, Methods, Statistical sampling, Sampling (Statistics)

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Rejoinder

Article Abstract:

The methods of estimating the future trends of stock price volatility, based on the relation between market microstructure noise and realized variance of stock prices, are described.

Measurement, Volatility

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Realized variance amd market microstructure noise

Article Abstract:

The empirical analysis of the impact of market microstructure noise, on the realized variance in high-frequency data on Dow Jones Industrial Average stocks is presented.

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