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Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations

Liu, Z

Liu, Z (reprint author), Univ Macau, Taipa, Macau, Peoples R China.; Liu, Z (reprint author), UM Zhuhai Res Inst, Zhuhai, Peoples R China.

FINANCE AND STOCHASTICS, 2017; 21 (2): 427

Abstract

In this paper, we develop the multipower estimators for the integrated volatility in (Barndorff-Nielsen and Shephard in J. Financ. Econom. 2:1-37, 200......

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