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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
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DOI: 10.1080/07474938.2020.1735751

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