On the estimation of integrated volatility in the presence of jumps and microstructure noise
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Cited in
(32)- Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise
- Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
- Nonparametric estimation of the integrated volatility of jump-diffusion processes with noisy high-frequency data
- Estimating the integrated volatility using high-frequency data with zero durations
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Ultra high frequency volatility estimation with dependent microstructure noise
- New theory of estimation of integrated volatility with applications.
- Efficient estimation of integrated volatility incorporating trading information
- Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
- The econometrics of high-frequency data
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- Spot volatility estimation for high-frequency data
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- Estimation of volatility in a high-frequency setting: a short review
- Jump-robust volatility estimation using dynamic dual-domain integration method
- Volatility inference in the presence of both endogenous time and microstructure noise
- On estimating the integrated co-volatility using noisy high-frequency data with jumps
- Testing for jumps with robust spot volatility estimators
- Dependent microstructure noise and integrated volatility estimation from high-frequency data
- Quasi-maximum likelihood estimation of volatility with high frequency data
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- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Likelihood theory for the graph Ornstein-Uhlenbeck process
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
- A Tale of Two Time Scales
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
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