{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2017:RK4XN6YQIXKKGFTJHXW74IOYGX","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"02643e8d3c1805feb31b9e7b77868506f64e8663317b5f390f810584cd3800a8","cross_cats_sorted":["stat.AP"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2017-01-05T00:13:36Z","title_canon_sha256":"fca3f9ea6084f7dae8a1cd80d624f37f5b54167f546ebe784b3d6782b7f7fc09"},"schema_version":"1.0","source":{"id":"1701.01185","kind":"arxiv","version":3}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1701.01185","created_at":"2026-05-18T00:12:14Z"},{"alias_kind":"arxiv_version","alias_value":"1701.01185v3","created_at":"2026-05-18T00:12:14Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1701.01185","created_at":"2026-05-18T00:12:14Z"},{"alias_kind":"pith_short_12","alias_value":"RK4XN6YQIXKK","created_at":"2026-05-18T12:31:39Z"},{"alias_kind":"pith_short_16","alias_value":"RK4XN6YQIXKKGFTJ","created_at":"2026-05-18T12:31:39Z"},{"alias_kind":"pith_short_8","alias_value":"RK4XN6YQ","created_at":"2026-05-18T12:31:39Z"}],"graph_snapshots":[{"event_id":"sha256:3b9d8411433c1d809cf3422fc95a4c539da0243b0f88b85392b995d9cb53c2d8","target":"graph","created_at":"2026-05-18T00:12:14Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"This paper shows how to carry out efficient asymptotic variance reduction when estimating volatility in the presence of stochastic volatility and microstructure noise with the realized kernels (RK) from [Barndorff-Nielsen et al., 2008] and the quasi-maximum likelihood estimator (QMLE) studied in [Xiu, 2010]. To obtain such a reduction, we chop the data into B blocks, compute the RK (or QMLE) on each block, and aggregate the block estimates. The ratio of asymptotic variance over the bound of asymptotic efficiency converges as B increases to the ratio in the parametric version of the problem, i.","authors_text":"Simon Clinet, Yoann Potiron","cross_cats":["stat.AP"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2017-01-05T00:13:36Z","title":"Efficient asymptotic variance reduction when estimating volatility in high frequency data"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1701.01185","kind":"arxiv","version":3},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:b389444cb8a722e4ca8770a8d1bd61a104baf3797f64b35c7c45d923ca927fc6","target":"record","created_at":"2026-05-18T00:12:14Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"02643e8d3c1805feb31b9e7b77868506f64e8663317b5f390f810584cd3800a8","cross_cats_sorted":["stat.AP"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2017-01-05T00:13:36Z","title_canon_sha256":"fca3f9ea6084f7dae8a1cd80d624f37f5b54167f546ebe784b3d6782b7f7fc09"},"schema_version":"1.0","source":{"id":"1701.01185","kind":"arxiv","version":3}},"canonical_sha256":"8ab976fb1045d4a316693dedfe21d835c465f8b142c52b3d33bbb7cc82174a05","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"8ab976fb1045d4a316693dedfe21d835c465f8b142c52b3d33bbb7cc82174a05","first_computed_at":"2026-05-18T00:12:14.396621Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T00:12:14.396621Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"c8QfKsjWLkIYykXNhPN8BWtkBfaTxfZFGRYj8kuk2ErJL+0/EjsC+rX64j+kIQHq6HEen3fmDHJF9dKBPZjLBQ==","signature_status":"signed_v1","signed_at":"2026-05-18T00:12:14.397181Z","signed_message":"canonical_sha256_bytes"},"source_id":"1701.01185","source_kind":"arxiv","source_version":3}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:b389444cb8a722e4ca8770a8d1bd61a104baf3797f64b35c7c45d923ca927fc6","sha256:3b9d8411433c1d809cf3422fc95a4c539da0243b0f88b85392b995d9cb53c2d8"],"state_sha256":"02e8d46f4ecf4f8405a92473c4069921f7c19e277911bc35e92cd0cefe67051a"}