Oomen R C A. Properties of bias corrected realized variance under alternative sampling schemes[J]. Journal of Financial Econometrics, 2005, 3(4):555-557.
[2]
Barndorff-Nielsen O E, Hansen P R, Lunde A, et al. Designing realized kernels to measure the ex post variation of equityprices in the presence of noise[J].Econometrica, 2008, 76(6): 1481-1536
[3]
Bandi F M,Russell J R. Microstructure noise, realized volatility, and optimal sampling[J]. Review of Economic Studies, 2008, 75(2):339-369.
[4]
Oomen R C A. Properties of realized variance under alternative sampling schemes[J].Journal of Business & Economic Statistics, 2006, 24(2):219-237.
[5]
Oomen R. Properties of realized variance for a pure jump process: Calendar time sampling versus business time sampling[R]. Working Paper,Financial Econometrics Research Centre,2004.
[6]
Hansen P R, Lunde A. Realized variance and market microstructure noise[J]. Journal of Business & Economic Statistics, 2006, 24(2):127-161.
[7]
Hansen P R, Lunde A. Realized variance and I.I.D. market microstructure noise[J]. Journal of Business & Economics Statistics,2004, 24(2):208-218.
[8]
Hansen P R, Lunde A. An unbiased measure of realized variance[R]. Working Paper, University of A arhus 2004.
[9]
Bandi F M, Russell J R. Separating microstructure noise from volatility[J]. Journal of Financial Economics, 2005, 79(3):655-692.
[10]
Griffin J E, Oomen R C A. Sampling returns for realized variance calculations: Tick time or transaction time[J]. Econometric Reviews, 2008, 27(1): 230-253.
[11]
McAleer M,Medeiros M C. Realized volatility: A review[J]. Econometric Reviews, 2008, 27(1): 10-45.
[12]
Gatheral J, Oomen R C A. Zero-intelligence realized variance estimation[J]. Finance Stoch, 2010, 14(2): 249-283.