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

Christian Brownlees, Eulalia Nualart and Yucheng Sun

Econometric Reviews, 2020, vol. 39, issue 10, 991-1013

Abstract: 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.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2020.1735751 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:39:y:2020:i:10:p:991-1013

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474938.2020.1735751

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().