Nonlinear time series models, especially those with regime-switching and conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature. However, much of theresearch has concentrated on the empirical applications of various models, with little...

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent realized...