期刊
BERNOULLI
卷 15, 期 3, 页码 634-658出版社
INT STATISTICAL INST
DOI: 10.3150/08-BEJ167
关键词
bipower variation; central limit theorem; finite activity jumps; high-frequency data; integrated volatility; microstructure noise; semimartingale theory; subsampling
资金
- CREATES
- Danish National Research Foundation
- Deutsche Forschungsgemeinschaft [SFB 475]
We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower variation is proven. Under further assumptions we prove stable convergence of our estimates with the optimal rate n(-1/4). Moreover, we construct estimates which are robust to finite activity jumps.
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