On the estimation of integrated volatility with jumps and microstructure noise

Bing-Yi Jing; Zhi Liu; Xin-Bing Kong

Year of publication:	2014
Authors:	Jing, Bingyi ; Liu, Zhi ; Kong, Xinbing
Published in:	Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 32.2014, 3, p. 457-467
Subject:	Central limit theorem \| High frequency data \| Quadratic variation \| Semimartingale \| Volatilität \| Volatility \| Marktmikrostruktur \| Market microstructure \| Schätztheorie \| Estimation theory \| Martingal \| Martingale \| Zeitreihenanalyse \| Time series analysis \| Noise Trading \| Noise trading

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