On the estimation of integrated volatility in the presence of jumps and microstructure noise
Christian Brownlees (),
Eulalia Nualart and
Econometric Reviews, 2020, vol. 39, issue 10, 991-1013
This paper is concerned with the problem of the estimation of the integrated volatility of log-prices based on high frequency data when both price jumps and market microstructure noise are present. We begin by providing a survey of the leading estimators introduced in the literature to tackle volatility estimation in this setting. We then introduce novel integrated volatility estimators based on a truncation technique and establish their properties. Finally, we carry out a simulation study to compare the performance of the different estimation techniques.
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:39:y:2020:i:10:p:991-1013
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