Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - Tinbergen Instituut - 2009
presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high … frequency price observations that are contaminated with microstructure noise without the need for sparse sampling, say at …