Microstructure Noise, Realized Variance, and Optimal Sampling

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High frequency market microstructure noise estimates and liquidity measures
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
MIDAS Regressions: Further Results and New Directions
On a spiked model for large volatility matrix estimation from noisy high-frequency data
Realized stochastic volatility with leverage and long memory
Optimal design of Fourier estimator in the presence of microstructure noise
The effect of infrequent trading on detecting price jumps
Estimation of financial agent-based models with simulated maximum likelihood
Asymptotic inference about predictive accuracy using high frequency data
Spectral analysis of quadratic variation in the presence of market microstructure noise
Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies
Long memory and nonlinearities in realized volatility: a Markov switching approach
Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
Estimation of the lead-lag parameter from non-synchronous data
Incorporating realized quarticity into a realized stochastic volatility model
New formulations of ambiguous volatility with an application to optimal dynamic contracting
New evidence on market response to public announcements in the presence of microstructure noise
A continuous and efficient fundamental price on the discrete order book grid
Forecast the realized range-based volatility: the role of investor sentiment and regime switching
Local mispricing and microstructural noise: a parametric perspective
Dependent microstructure noise and integrated volatility estimation from high-frequency data
High-frequency jump tests: which test should we use?
Volatility and volatility-linked derivatives: estimation, modeling, and pricing
Inference for local distributions at high sampling frequencies: a bootstrap approach
Testing long memory based on a discretely observed process
Comment: A selective overview of nonparametric methods in financial econometrics
Estimation of the realized (co-)volatility vector: large deviations approach
Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
Estimation of a noisy subordinated Brownian motion via two-scales power variations
Zero-intelligence realized variance estimation.
Measuring the relevance of the microstructure noise in financial data
Are volatility estimators robust with respect to modeling assumptions?
Identifying latent factors based on high-frequency data
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
Measuring volatility with the realized range
An unbiased measure of integrated volatility in the frequency domain
Optimal restricted quadratic estimator of integrated volatility
Three-point approach for estimating integrated volatility and integrated covariance
Realized range-based estimation of integrated variance
Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators
Predicting volatility: getting the most out of return data sampled at different frequencies
Consistent ranking of volatility models
Risk, jumps, and diversification
A Markov chain estimator of multivariate volatility from high frequency data
Out of sample forecasts of quadratic variation
Realized volatility forecasting and option pricing
A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
Sequential Monte Carlo methods for stochastic volatility models: a review
Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
A new microstructure noise index
Predictive density estimators for daily volatility based on the use of realized measures
A two-stage realized volatility approach to estimation of diffusion processes with discrete data
A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
Dynamic modeling of high-dimensional correlation matrices in finance
STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE
How often to sample a continuous-time process in the presence of market microstructure noise
Realized Volatility: A Review
Moving Average-Based Estimators of Integrated Variance
Edgeworth Corrections for Realized Volatility
Using High-Frequency Data in Dynamic Portfolio Choice
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Inference for the jump part of quadratic variation of Itô semimartingales
Noise reduced realized volatility: a Kalman filter approach
Stationary bootstrapping realized volatility under market microstructure noise
Realized kernels in practise : trades and quotes
On the correlation structure of microstructure noise: a financial economic approach
Statistical Properties of Microstructure Noise
High-frequency volatility of volatility estimation free from spot volatility estimates
Heterogenous market hypothesis evaluation using multipower variation volatility
Stochastic volatility and stochastic leverage
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
A robust neighborhood truncation approach to estimation of integrated quarticity
Normally distributed high-frequency returns: a subordination approach
Evaluation of volatility predictions in a VaR framework
A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
Estimation of long memory in integrated variance
A ReMeDI for microstructure noise
Forecasting with fractional Brownian motion: a financial perspective
MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
Long memory, realized volatility and heterogeneous autoregressive models
Volatility estimation and jump testing via realized information variation
On loss functions and ranking forecasting performances of multivariate volatility models
Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
Subsampling high frequency data
Data-based ranking of realised volatility estimators
Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
Bias-corrected realized variance under dependent microstructure noise
Modelling microstructure noise with mutually exciting point processes
Bias-corrected realized variance
Optimal adaptive sampling for a symmetric two-state continuous time Markov chain
On the estimation of integrated volatility in the presence of jumps and microstructure noise
Exploiting the errors: a simple approach for improved volatility forecasting
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Integrated volatility and round-off error
Uniform convergence rates for spot volatility estimation
Volatility measurement with pockets of extreme return persistence
Bayesian analysis of structural credit risk models with microstructure noises
Cryptocurrency volatility forecasting: what can we learn from the first wave of the COVID-19 outbreak?

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