microstructure noise. Empirical analysis of the S&P500 index-futures and the S&P100 constituents confirm the potential of the …

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 …

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

in estimating spot volatilities, to estimation error, and to market microstructure noise. This decomposition enables us …

-synchronous observations with the simultaneous presence of microstructure noise and jumps. We derive a noise-robust Hayashi–Yoshida estimator …

In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous …