Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Journal Article
Journal / seriesBernoulli
Pages / Article No.
PublisherInternational Statistical Institute
Subjectbipower variation; central limit theorem; finite activity jumps; high-frequency data; integrated volatility; microstructure noise; semimartingale theory; subsampling
NotesReceived July 2007, Revised July 2007.
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