We test the performance of different volatility estimators that have recently been proposed in the literature and which have been designed to deal with problems arising when ultra high-frequency data are employed: microstructure noise and price discontinuities. Our goal is to provide an...

We propose a methodology to employ high frequency financial data to obtain estimates of volatility of log-prices which are not affected by microstructure noise and Lévy jumps. We introduce the 'number of jumps' as a variable to explain and predict volatility and show that the number of jumps in...