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| Taro Kanatani |
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| ''Integrated volatility measuring from unevenly sampled observations'' |
| ( 2004, Vol. 3 No.36 ) |
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| This paper derives the linear interpolation bias of realized volatility. To avoid the bias, the Fourier series estimator has been proposed by Malliavin and Mancino (2002). We examine the theoretical relationship between the Fourier estimator and realized volatility and show that the latter is the most efficient estimator in the class of the former. |
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| Keywords: |
JEL: C1 - Econometric and Statistical Methods: General
C5 - Econometric Modeling: General |
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| Manuscript Received : Jul 25 2004 | | Manuscript Accepted : Oct 08 2004 |
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