A Bias Correction Method for Realized Covariance Calculated Using Previous Tick Interpolation, Preliminary version : October 9, 2005
bias_correction110805.pdf 221 KB
Integrated cross volatility
Unevenly sampled observations
Previous tick interpolation
In this paper we propose an unbiased estimator of cross-volatility (conditional covariance between two asset returns) when we must use evenly spaced data which have already been manipulated by previoustick interpolation.
This research was partially supported by the Ministry of Education, Culture, Sports, Science and Technology (MEXT), Grant-in-Aid for 21st Century COE Program "Interfaces for Advanced Economic Analysis".
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Graduate School of Social Sciences