On the estimation of integrated volatility in the presence of jumps and microstructure noise
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Publication:5861024
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Cited in
(31)- New theory of estimation of integrated volatility with applications.
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- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
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- Efficient estimation of integrated volatility incorporating trading information
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
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- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
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