{"id":"https://openalex.org/W2136796521","doi":"https://doi.org/10.1007/s00780-009-0089-9","title":"Bias-correcting the realized range-based variance in the presence of market microstructure noise","display_name":"Bias-correcting the realized range-based variance in the presence of market microstructure noise","publication_year":2009,"publication_date":"2009-01-29","ids":{"openalex":"https://openalex.org/W2136796521","doi":"https://doi.org/10.1007/s00780-009-0089-9","mag":"2136796521"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-009-0089-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-009-0089-9","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5008840813","display_name":"Kim Christensen","orcid":"https://orcid.org/0000-0002-7648-7332"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Kim Christensen","raw_affiliation_strings":["Nordea, Markets Division, Global Fixed Income Trading, Christiansbro, Strandgade 3, PO Box 850, 0900, Copenhagen C, Denmark","Global Fixed Income Trading"],"affiliations":[{"raw_affiliation_string":"Nordea, Markets Division, Global Fixed Income Trading, Christiansbro, Strandgade 3, PO Box 850, 0900, Copenhagen C, Denmark","institution_ids":[]},{"raw_affiliation_string":"Global Fixed Income Trading","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5022093434","display_name":"Mark Podolskij","orcid":"https://orcid.org/0000-0002-3302-2455"},"institutions":[{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]},{"id":"https://openalex.org/I4210130357","display_name":"University of Economics and Management","ror":"https://ror.org/0397v9r66","country_code":"CZ","type":"education","lineage":["https://openalex.org/I4210130357"]}],"countries":["CZ","DK"],"is_corresponding":false,"raw_author_name":"Mark Podolskij","raw_affiliation_strings":["CREATES, University of Aarhus, School of Economics and Management, Building 1322, 8000, Aarhus C, Denmark","University of Aarhus - School of Economics and Management"],"affiliations":[{"raw_affiliation_string":"CREATES, University of Aarhus, School of Economics and Management, Building 1322, 8000, Aarhus C, Denmark","institution_ids":["https://openalex.org/I204337017"]},{"raw_affiliation_string":"University of Aarhus - School of Economics and Management","institution_ids":["https://openalex.org/I4210130357"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5022516180","display_name":"Mathias Vetter","orcid":"https://orcid.org/0000-0002-8182-3193"},"institutions":[{"id":"https://openalex.org/I904495901","display_name":"Ruhr University Bochum","ror":"https://ror.org/04tsk2644","country_code":"DE","type":"education","lineage":["https://openalex.org/I904495901"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Mathias Vetter","raw_affiliation_strings":["Department of Probability and Statistics, Ruhr University of Bochum, Universit\u00e4tstrasse 150, 44780, Bochum, Germany","Ruhr University of Bochum"],"affiliations":[{"raw_affiliation_string":"Department of Probability and Statistics, Ruhr University of Bochum, Universit\u00e4tstrasse 150, 44780, Bochum, Germany","institution_ids":["https://openalex.org/I904495901"]},{"raw_affiliation_string":"Ruhr University of Bochum","institution_ids":["https://openalex.org/I904495901"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5008840813"],"corresponding_institution_ids":[],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":4.7381,"has_fulltext":false,"cited_by_count":48,"citation_normalized_percentile":{"value":0.95224483,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"13","issue":"2","first_page":"239","last_page":"268"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9940999746322632,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9940999746322632,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.982200026512146,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.9524000287055969,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.7238308191299438},{"id":"https://openalex.org/keywords/realized-variance","display_name":"Realized variance","score":0.6966736316680908},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.5857716798782349},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.5701983571052551},{"id":"https://openalex.org/keywords/bias-of-an-estimator","display_name":"Bias of an estimator","score":0.5298476219177246},{"id":"https://openalex.org/keywords/statistic","display_name":"Statistic","score":0.5297678112983704},{"id":"https://openalex.org/keywords/noise","display_name":"Noise (video)","score":0.5009756088256836},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4877648949623108},{"id":"https://openalex.org/keywords/range","display_name":"Range (aeronautics)","score":0.48087790608406067},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.4716809391975403},{"id":"https://openalex.org/keywords/gaussian-noise","display_name":"Gaussian noise","score":0.4290097653865814},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.4249143600463867},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.37000375986099243},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.33223193883895874},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.30271971225738525},{"id":"https://openalex.org/keywords/minimum-variance-unbiased-estimator","display_name":"Minimum-variance unbiased estimator","score":0.2716851234436035},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.15836963057518005},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.11049294471740723},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.11000281572341919},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.09376943111419678},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.07020843029022217}],"concepts":[{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.7238308191299438},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.6966736316680908},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5857716798782349},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.5701983571052551},{"id":"https://openalex.org/C191393472","wikidata":"https://www.wikidata.org/wiki/Q15222032","display_name":"Bias of an estimator","level":4,"score":0.5298476219177246},{"id":"https://openalex.org/C89128539","wikidata":"https://www.wikidata.org/wiki/Q1949963","display_name":"Statistic","level":2,"score":0.5297678112983704},{"id":"https://openalex.org/C99498987","wikidata":"https://www.wikidata.org/wiki/Q2210247","display_name":"Noise (video)","level":3,"score":0.5009756088256836},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4877648949623108},{"id":"https://openalex.org/C204323151","wikidata":"https://www.wikidata.org/wiki/Q905424","display_name":"Range (aeronautics)","level":2,"score":0.48087790608406067},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.4716809391975403},{"id":"https://openalex.org/C4199805","wikidata":"https://www.wikidata.org/wiki/Q2725903","display_name":"Gaussian noise","level":2,"score":0.4290097653865814},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.4249143600463867},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.37000375986099243},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.33223193883895874},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.30271971225738525},{"id":"https://openalex.org/C165646398","wikidata":"https://www.wikidata.org/wiki/Q3755281","display_name":"Minimum-variance unbiased estimator","level":3,"score":0.2716851234436035},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.15836963057518005},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.11049294471740723},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.11000281572341919},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.09376943111419678},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.07020843029022217},{"id":"https://openalex.org/C146978453","wikidata":"https://www.wikidata.org/wiki/Q3798668","display_name":"Aerospace engineering","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C115961682","wikidata":"https://www.wikidata.org/wiki/Q860623","display_name":"Image (mathematics)","level":2,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s00780-009-0089-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-009-0089-9","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:finsto:v:13:y:2009:i:2:p:239-268","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00780-009-0089-9","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:pure.atira.dk:publications/dc41ac90-163a-11df-b95d-000ea68e967b","is_oa":false,"landing_page_url":"https://pure.au.dk/portal/en/publications/dc41ac90-163a-11df-b95d-000ea68e967b","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Christensen, K, Podolskij, M & Vetter, M 2009, 'Bias-correcting the realised range-based variance in the presence of market microstructure noise', Finance and Stochastics, vol. 13, no. 2, pp. 239-268. https://doi.org/10.1007/s00780-009-0089-9","raw_type":"info:eu-repo/semantics/publishedVersion"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":51,"referenced_works":["https://openalex.org/W12401122","https://openalex.org/W982383590","https://openalex.org/W1486785473","https://openalex.org/W1572860078","https://openalex.org/W1962742696","https://openalex.org/W1969269132","https://openalex.org/W1969804920","https://openalex.org/W1970549508","https://openalex.org/W1970694313","https://openalex.org/W1995522593","https://openalex.org/W1998856889","https://openalex.org/W2031855349","https://openalex.org/W2051235503","https://openalex.org/W2063887941","https://openalex.org/W2076469575","https://openalex.org/W2081845631","https://openalex.org/W2081877251","https://openalex.org/W2086242486","https://openalex.org/W2086828871","https://openalex.org/W2090788235","https://openalex.org/W2090942229","https://openalex.org/W2094859553","https://openalex.org/W2113883339","https://openalex.org/W2128569377","https://openalex.org/W2129754216","https://openalex.org/W2133334225","https://openalex.org/W2133491221","https://openalex.org/W2136215272","https://openalex.org/W2139635135","https://openalex.org/W2140585983","https://openalex.org/W2155187653","https://openalex.org/W2155804346","https://openalex.org/W2157296221","https://openalex.org/W2247393637","https://openalex.org/W3021711745","https://openalex.org/W3023073341","https://openalex.org/W3095114851","https://openalex.org/W3121411776","https://openalex.org/W3121487129","https://openalex.org/W3122154929","https://openalex.org/W3122281927","https://openalex.org/W3122291403","https://openalex.org/W3123021978","https://openalex.org/W3123266280","https://openalex.org/W3124218550","https://openalex.org/W3124314536","https://openalex.org/W3124585920","https://openalex.org/W3124788295","https://openalex.org/W3125666236","https://openalex.org/W3125949289","https://openalex.org/W4293092461"],"related_works":["https://openalex.org/W2359776416","https://openalex.org/W3122147302","https://openalex.org/W2745293173","https://openalex.org/W1761087292","https://openalex.org/W2123509083","https://openalex.org/W1580490668","https://openalex.org/W2964389519","https://openalex.org/W1601754126","https://openalex.org/W2379800772","https://openalex.org/W3125425292"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":8},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":5},{"year":2012,"cited_by_count":3}],"updated_date":"2026-03-14T08:43:22.919905","created_date":"2025-10-10T00:00:00"}