Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
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central limit theoremsubsamplingmicrostructure noisehigh-frequency dataintegrated volatilitybipower variationfinite activity jumpssemimartingale theory
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48)
Abstract: We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower variation is proven. Under further assumptions we prove stable convergence of our estimates with the optimal rate . Moreover, we construct estimates which are robust to finite activity jumps.
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