We thank Peter Hansen and many others for their helpful comments. We wish to acknowledge the financial support from Grant-in-Aid for Young Scientists (B) by the Japan Society for Promotion of Science (Grant no. 19730159 and 20740061). We are grateful to the two anonymous referees for their valuable comments and constructive suggestions on this paper.
OPTIMAL WEIGHT FOR REALIZED VARIANCE BASED ON INTERMITTENT HIGH-FREQUENCY DATA*
Version of Record online: 20 DEC 2011
© 2011 Japanese Economic Association
The Japanese Economic Review
Volume 63, Issue 4, pages 497–527, December 2012
How to Cite
MASUDA, H. and MORIMOTO, T. (2012), OPTIMAL WEIGHT FOR REALIZED VARIANCE BASED ON INTERMITTENT HIGH-FREQUENCY DATA. Japanese Economic Review, 63: 497–527. doi: 10.1111/j.1468-5876.2011.00552.x
- Issue online: 27 NOV 2012
- Version of Record online: 20 DEC 2011
- Final version accepted 13 October 2011.
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