Barsotti, Flavia; Sanfelici, Simona - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2012
introducing market microstructure noise as a direct effect of using noisy high-frequency data and propose the use of non … performance of different non-parametric volatil- ity estimators in their capability of i) filtering out the market microstructure … noise, ii) extracting the (unobservable) true underlying asset volatility level, iii) predicting default probabilies …