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

Bernoulli

Volumn 15, Issue 3, 2009, Pages 634-658

  Podolskij, Mark ^a   Vetter, Mathias ^b  

^a AARHUS UNIVERSITY   (Denmark)

^b RUHR UNIVERSITY BOCHUM   (Germany)

Author keywords

Bipower variation; Central limit theorem; Finite activity jumps; High frequency data; Integrated volatility; Microstructure noise; Semimartingale theory; Subsampling

Indexed keywords

EID: 70349813191     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/08-BEJ167     Document Type: Article

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