论文信息 - Comment on “ Realized variance and market microstructure noise " by Peter Hansen and Asger Lunde ∗

Comment on “ Realized variance and market microstructure noise " by Peter Hansen and Asger Lunde ∗

Exploring a possible correlation between the efficient price and the noise, as HL do, is an exciting and challenging task. By examining the volatility signature plots of trades and quotes, HL report that RV estimates based on quotes at very high frequency decrease. This is different from many earlier findings on volatility signature plots based on transaction prices. It is important to figure out how much of that is driven by the pre-processing of the data in the HL paper, and we discuss below the role that this might have played in delivering that result.

P. Mykland | Yacine Aït-Sahalia | Lan Zhang

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