We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that …

the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is …

using nonsynchronous observations contaminated with microstructure noise. This framework enables us to examine different …

consistent estimation, even in the presence of jumps and microstructure noise in prices. More precisely, we establish that four … well known realized measures, i.e. realized volatility, bipower variation, and two measures robust to microstructure noise …

We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that …

Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the … noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized … the integrated variance and asymptotically mixed Gaussian under simple forms of microstructure noise, and we can select an …

microstructure noise. Empirical analysis of the S&P500 index-futures and the S&P100 constituents confirm the potential of the … microstructure noise. Empirical analysis of the S&P500 index-futures and the S&P100 constituents confirm the potential of the … realized range. Keywords: Realized volatility; high-low range; high-frequency data; market microstructure noise, bias …