Microstructure noise in the continuous case

The pre-averaging approach
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Author
Jacod, Jean
Li, Yingying
Mykland, Per A.
Podolskij, Mark
Vetter, Mathias
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Date
2009-07
Type
  • Journal Article
Publication status
published
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Journal / series
Stochastic Processes and their Applications
Volume
119(7)
Pages / Article No.
2249 - 2276
Publisher
Elsevier
Subject
Consistency; Continuity; Discrete observation; Ito process; Leverage effect; Pre-averaging; Quarticity; Realized volatility; Stable convergence
Notes
Received 14 December 2007, Revised 8 August 2008, Accepted 3 November 2008, Available online 24 November 2008.
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