Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

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Publication:605016

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DOI10.3150/08-BEJ167zbMath1200.62131arXiv0909.0827MaRDI QIDQ605016

Mathias Vetter, Mark Podolskij

Publication date: 12 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.0827

zbMATH Keywords

central limit theorem high-frequency data subsampling microstructure noise integrated volatility bipower variation finite activity jumps semimartingale theory

Mathematics Subject Classification ID

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) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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