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 Applied Statistics

Research output: Contribution to journal › Article › peer-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 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
Publication status	Published - 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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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.",

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",

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

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AU - Park, Sangun

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SP - 334

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JO - Economics Letters

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

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

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