Rejoinder

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

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.
OriginalsprogEngelsk
TidsskriftJournal of Business and Economic Statistics
Vol/bind24
Nummer2
Sider (fra-til)208-218
ISSN0735-0015
StatusUdgivet - 2006

    Forskningsområder

  • Analysis of variance, Markets, Volatility

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