Before revision:  In particular, we discuss the impact of non-stationary microstructure noise on TSRV (Two-Scale Realized Variance) estimator , and design three test statistics by exploiting the edge effectsand asymptotic approximation.
After revision:  In particular, we investigate the impact of non-stationary microstructure noise on TSRV (Two-Scale Realized Variance) estimator , and design three test statistics by exploiting the edge effectsand asymptotic approximation.