Hot answers tagged high-frequency
I'll address your questions in order: 1a) For TSRV constructed using high frequency returns from NYSE market open to market close on a single day, the output should be numbers on the order of magnitude of 1e-4 to 1e-5. In other words, your numbers look about right. I got these number from calculating TSRV for IBM data myself using Kevin Sheppard's MatLab ...
http://bluemountaincapital.github.io/Deedle/ Disclaimer: I haven't used this.
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