On the estimation of integrated volatility in the presence of jumps and microstructure noise

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

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Cited In (7)

Ultra high frequency volatility estimation with dependent microstructure noise
Jump-robust volatility estimation using dynamic dual-domain integration method
Testing for jumps with robust spot volatility estimators
Detecting price jumps in the presence of market microstructure noise
ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
Likelihood theory for the graph Ornstein-Uhlenbeck process
Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise

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