. Finally, we analyze our framework in the presence of microstructure noise. …

. Finally, we analyze our framework in the presence of microstructure noise. …

microstructure noise in high frequency data, based on the pre-averaging method of Jacod et al. (2010). We show that the robustified … statistic restores the test’s discriminating power between jumps and no jumps despite the presence of market microstructure … noise in the data. …

processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic …

matrix estimate which is robust to both asynchronicity and microstructure noise, and positive-semidefinite by construction …

contaminations. The microstructure noise creates a dichotomy in the model-free estimation of integrated volatility. While it is …

equilibrium price process is contaminated with market microstructure noise, such as bid–ask bounces and price-change 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. …