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

Dong Wan Shin, Sangun Park

Research output: Contribution to journalArticlepeer-review

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

Bibliographical note

Funding Information:
This research was supported by the National Research Foundation of Korea ( NRF-2009-0084772 , NRF-2009-0070618 ).

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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