Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies

Dong Wan Shin, Sangun Park

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

Efficiency of the realized variance of an asset is improved by taking advantage of another asset whose return is cross-sectionally correlated with that of the asset and is less sensitive to market microstructure noises permitting higher frequency sampling than the original asset.

Original languageEnglish
Pages (from-to)334-337
Number of pages4
JournalEconomics Letters
Volume115
Issue number3
DOIs
Publication statusPublished - 2012 Jun 1

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Correlation coefficient
Coefficients
Realized variance
Assets
Sampling
Market microstructure noise
Asset returns

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Finance

Cite this

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abstract = "Efficiency of the realized variance of an asset is improved by taking advantage of another asset whose return is cross-sectionally correlated with that of the asset and is less sensitive to market microstructure noises permitting higher frequency sampling than the original asset.",
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Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies. / Shin, Dong Wan; Park, Sangun.

In: Economics Letters, Vol. 115, No. 3, 01.06.2012, p. 334-337.

Research output: Contribution to journalArticle

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AU - Park, Sangun

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