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

Dong Wan Shin; Sangun Park

doi:10.1016/j.econlet.2011.12.113

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

Dong Wan Shin, Sangun Park

Department of Statistics

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

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 language	English
Pages (from-to)	334-337
Number of pages	4
Journal	Economics Letters
Volume	115
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2011.12.113
State	Published - Jun 2012

Bibliographical note

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

Keywords

Efficiency
Factoring likelihood
Realized variance

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10.1016/j.econlet.2011.12.113

Cite this

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

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.",

keywords = "Efficiency, Factoring likelihood, Realized variance",

author = "Shin, {Dong Wan} and Sangun Park",

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

year = "2012",

month = jun,

doi = "10.1016/j.econlet.2011.12.113",

language = "English",

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journal = "Economics Letters",

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AU - Shin, Dong Wan

AU - Park, Sangun

N1 - Funding Information: This research was supported by the National Research Foundation of Korea ( NRF-2009-0084772 , NRF-2009-0070618 ).

PY - 2012/6

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N2 - 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.

AB - 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.

KW - Efficiency

KW - Factoring likelihood

KW - Realized variance

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U2 - 10.1016/j.econlet.2011.12.113

DO - 10.1016/j.econlet.2011.12.113

M3 - Article

AN - SCOPUS:84862784573

SN - 0165-1765

VL - 115

SP - 334

EP - 337

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

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

Abstract

Bibliographical note

Keywords

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