This article presents a rejoinder responding to comments on the authors' article "Realized Variance and Market Microstructure Noise." The comment by Aït-Sahalia, Mykland and Zhang challenges the authors to formulate better arguments and provide additional empirical evidence. Their argument is that it may not be possible to estimate the integrated variance consistently for some types of dependent noise after identifying parameters of interest. Anderson, Bollerslev, Frederiksen and Nielsen's comments focus mainly on jumps as they discuss realized power and bipower variation.
Journal of Business and Economic Statistics, 2006, Vol 24, Issue 2, p. 208-218