In a previous issue of The American Statistician, Heffernan reexpressed the classical formula for the sample variance as a sum of squared pairwise differences. This result extends to the sample ...
This article investigates the statistical properties of the realized variance estimator in the presence of market microstructure noise. Different from the existing literature, the analysis relies on a ...
Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
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