Resource title

Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps

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Resource description

We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower variation is proven. Under further assumptions we prove stable convergence of our estimates with the optimal rate n -1/4). Moreover, we construct estimates which are robust to finite activity jumps.

Resource author

Mathias Vetter, Mark Podolskij

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Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22695

Resource license

Adapt according to the presented license agreement and reference the original author.