id	author	title	date	pages	extension	mime	words	sentence	flesch	summary	cache	txt
dem-4187	Doman, Małgorzata	Liquidity and Market Microstructure Noise: Evidence from the Pekao Data	2010	10	.pdf	application/pdf	3282	137	59	In such a framework an ideal ex post measure of the daily volatility 2 tσ is the integrated variance .)()( 1 2∫ − = t t duutIV σ (4) From the quadratic variation theory it follows that .0 if ,)()( 1 2 →→ ∫ − hduuhRV t t t σ (5) It means that in absence of market microstructure noise the realized variance is a consistent estimator of the integrated variance. Moreover, we try to discover the dependencies be- Małgorzata Doman 8 tween liquidity and microstructure noise by modeling dependence of the later on a variety of liquidity measures.	cache/dem-4187.pdf	txt/dem-4187.txt