irregularly spaced transactions data. Extensions are given to include models with microstructure noise. Some simulation results … under microstructure noise is likely to be minor in most cases, thereby affirming the relevance of existing approaches. …

as well as recent developments on nonparametric volatility estimation by virtue of market microstructure noise …

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 …

-returns where the estimates are not a affected by microstructure noise and the presence of Lévy-type jumps in prices. The second …

useful for option pricing. Different realized volatilities are calculated with or without taking account of microstructure … noise and with or without using overnight and lunch-time returns. The both ARFIMA and ARFIMAX models are employed to specify … performs best, (2) applying the Bartlett adjustment to the calculation of realized volatility to take account of microstructure …

. Keywords: jumps, hypothesis tests, market microstructure noise, high-frequency data. JEL Classi cations: C12, C14, G12 I would …. Microstructure noise is discussed in section 5, leading to the proposed model, and a re-evaluation of empirical results in this light … ranges 0 100 and 250 300 show more evidence of jumps for both tests. 5 Microstructure Noise The results in the case study are …

Microstructure noise contaminates high-frequency estimates of asset price volatility. Recent work has determined a …

equilibrium price process is contaminated with market microstructure noise, such as bid-ask bounces and price changes discreteness … proposed in previous studies require prior knowledge about the dependence structure of microstructure noise to ensure … simulation indicate that the new approach is robust with respect to changes in the dependence of microstructure noise. …