Bias-correcting the realized range-based variance in the presence of market microstructure noise.
Kim ChristensenMark PodolskijMathias VetterPublished in: Finance Stochastics (2009)
Keyphrases
- low variance
- bias variance
- variance reduction
- noise sensitivity
- bias variance decomposition
- real valued
- random noise
- noise level
- trade off
- wide range
- noise variance
- missing data
- noise reduction
- multiscale
- signal to noise ratio
- range data
- naive bayes
- measurement error
- estimation error
- residual error
- electricity markets
- image noise
- arbitrary shape
- data sets
- stock market
- decision making