Department of Management

Rejoinder

Publication: Research - peer-reviewJournal article

  • Peter R. Hansen
    Peter R. HansenDepartment of Economics, Stanford UniversityUnited States
  • Asger Lunde
This article presents a rejoinder responding to comments on the authors' article "Realized Variance and Market Microstructure Noise." The comment by Aït-Sahalia, Mykland and Zhang challenges the authors to formulate better arguments and provide additional empirical evidence. Their argument is that it may not be possible to estimate the integrated variance consistently for some types of dependent noise after identifying parameters of interest. Anderson, Bollerslev, Frederiksen and Nielsen's comments focus mainly on jumps as they discuss realized power and bipower variation.
Original languageEnglish
JournalJournal of Business and Economic Statistics
Volume24
Issue number2
Pages (from-to)208-218
ISSN0735-0015
StatePublished - 2006

    Keywords

  • Analysis of variance, Markets, Volatility

See relations at Aarhus University Citationformats

ID: 15140