On the estimation of integrated volatility in the presence of jumps and microstructure noise

DOI10.1080/07474938.2020.1735751zbMath1490.62311OpenAlexW3125799900MaRDI QIDQ5861024

Yucheng Sun, Christian Brownlees, Eulalia Nualart

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2020.1735751

zbMATH Keywords

jumpsmarket microstructure noiseintegrated volatilityrealized kernel estimatortwo-scales realized volatility estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

Likelihood theory for the graph Ornstein-Uhlenbeck process ⋮ Detecting price jumps in the presence of market microstructure noise

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