Use of realized variance and covariance in risk management

Question 1

Microstructure noise

Answer 1

HFT data is problem for usage of RV estimation (makes it upward-biased). solve it by using sparse RV and frequency lower (meaning bigger intervals) than 1 minute (lose info though)

Question 2

Average RV estimator

Answer 2

arithmetic mean of s alternative standard RV estimators that trades off efficiency and bias. compute 10 different estimators that start zeitversetzt (e.g. one starts at 8AM and uses 10 minute grids, second estimator starts at 8:01AM)

Question 3

How to fix asynchronous trading in realized covariance estimation

Answer 3

1) fix an interval, use the last quote prior to its beginning or interpolation of 1st and last price in the interval. at least one quote should be available for both assets in the hose time interval
2)