Bias-corrected realized variance

Yeh, JH; Wang, JN

Yeh, JH (reprint author), Natl Cent Univ, Dept Finance, 300 Chung Da Rd, Taoyuan 32001, Taiwan.; Yeh, JH (reprint author), Natl Cent Univ, Taoyuan, Taiwan.

ECONOMETRIC REVIEWS, 2019; 38 (2): 170

Abstract

We propose a novel "bias-corrected realized variance" (BCRV) estimator based upon the appropriate re-weighting of two realized variances calculated at......

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