This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

Sea level is an important parameter in climate and oceanographic applications. In this work the scaling behavior of sea level is analyzed from time series of sea level observations. The wavelet domain is particularly attractive for the identification of scaling behavior in an observed time...