Rejoinder (To Comments on Realized Variance and Market Microstructure Noise)
- 3 January 2006
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
This rejoinder clarifies issues related to the features of market microstructure noise. Specifically, we show that pre-processing of high-frequency data is very useful for the estimation of quadratic variation. We also document a strong relationship between quadratic variation and the number of transactions.Keywords
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