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Noise Reduced Realized Volatility: A Kalman Filter Approach, Douglas Steigerwald, John Owens
Noise Reduced Realized Volatility: A Kalman Filter Approach, Douglas Steigerwald, John Owens
Douglas G. Steigerwald
How should one remove microstructure noise from high-frequency asset prices? We show how to use the Kalman filter to efficiently remove microstructure noise.