TY  - RPRT
AU  - Asai, Manabu
AU  - McAleer, Michael
AU  - Medeiros, Marcelo C.
PY  - 2011
UR  - https://hdl.handle.net/20.500.14352/48985
AB  - Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility....
LA  - eng
A3  - Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
KW  - Realized volatility
KW  - Diffusion
KW  - Financial econometrics
KW  - Measurement errors
KW  - Forecasting
KW  - Model evaluation
KW  - Goodness-of-fit.
TI  - Modelling and Forecasting Noisy Realized Volatility
TY  - technical report
VL  - 2011
ER  -