Wat is Two-scales realised variance?

The two-scales realised variance (Zhang, Mykland and Aït-Sahalia, 2005) averages the realised variances of the $K$ offset sparse grids and subtracts the noise bias estimated from the full grid: $\mathrm{TSRV} = \overline{\mathrm{RV}}^{(K)} - (\bar n/n)\mathrm{RV}^{(\mathrm{all})}$, $\bar n = (n - K + 1)/K$.