A noise-robust estimator of volatility based on interquantile ranges

Jin-Huei Yeh; Jying-Nan Wang

Year of publication:	2014
Authors:	Yeh, Jin-huei ; Wang, Jying-Nan ; Kuan, Chung-ming
Published in:	Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 43.2014, 4, p. 751-779
Subject:	Inter quantile range \| Price jump \| Realized volatility \| Range-based volatility \| Bi-power variation \| Market microstructure noise \| Volatilität \| Volatility \| Marktmikrostruktur \| Market microstructure \| Schätztheorie \| Estimation theory \| Noise Trading \| Noise trading \| Börsenkurs \| Share price \| Stochastischer Prozess \| Stochastic process \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Schätzung \| Estimation \| Monte-Carlo-Simulation \| Monte Carlo simulation