modified form the estimator is applicable with market microstructure noise and therefore operational on high-frequency data …

under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an …

theorems and an explicit test on serial dependence in microstructure noise. Using transaction data of different stocks traded … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …

continuous and jump components in a framework that allows for consistent estimation in the presence of market microstructure … noise. A comparison between a class of HAR- and ARFIMA models is facilitated on the basis of out-of-sample forecasting …

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 …

modified form the estimator is applicable with market microstructure noise and therefore operational on highfrequency data … outliers in the price series, while in modified form the estimator is applicable with market microstructure noise and therefore … microstructure noise; Order statistics; Outliers; Realised variance. JEL Classification: C10; C80. ∗Christensen is with CREATES …