Estimation of volatility in a high-frequency setting: a short review (Q2292043)

The aim of the paper is to give an overview of the different methods of estimation of volatility, including the most recent ones, in a high frequency setting. The various possible situations, relative to the underlying process (continuous, or with jumps having finite, or infinite, activity) and to the observation scheme (with microstructure noise or not, under a regular sampling scheme or not) are considered. So, the observable process can contain drift, volatility term that is an Itô integral with respect to a Wiener process, and a jump part. The author assumes that the observable process is one-dimensional, however, the results can be extended to the multi-dimensional case as well. The process is observed in the discrete moments of time, the whole interval of observation is preserved, and the distance between the points of observation tends to zero. The author concentrates on the estimation of integrated volatility. Each method of estimation is quickly sketched, with comments on its range of applicability. Most results are given in the form of a theorem, with a precise description of the assumptions needed, without proof, and some results are simply mentioned.