Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models
时间变换扩散模型中已实现方差估计的高效采样
This paper analyzes the benefits of sampling intraday returns in intrinsic time for the realized variance (RV) estimator. We theoretically show in finite samples that depending on the permitted sampling information, the RV estimator is most efficient under either hitting time sampling that samples whenever the price changes by a pre-determined threshold, or under the new concept of realized business time that samples according to a combination of observed trades and…