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.
Bibliographical noteFunding Information:
This research was supported by the National Research Foundation of Korea ( NRF-2009-0084772 , NRF-2009-0070618 ).
All Science Journal Classification (ASJC) codes
- Economics and Econometrics