Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations

Author:

Aït-Sahalia Yacine,Mykland Per A.

Publisher

Springer Berlin Heidelberg

Reference43 articles.

1. Aït-Sahalia, Y. (2002): Telling from discrete data whether the underlying continuous-time model is a diffusion. Journal of Finance 57, 2075-2112.

2. Aït-Sahalia, Y. (2004): Disentangling diffusion from jumps. Journal of Financial Economics 74, 487-528.

3. Aït-Sahalia, Y. and Jacod, J. (2004): Fisher’s information for discretely sampled Lévy processes. Technical Report, Princeton University and Université de Paris VI.

4. Aït-Sahalia, Y. and Jacod, J. (2007): Volatility estimators for discretely sampled Lévy processes. Annals of Statistics 35, 335-392.

5. Aït-Sahalia, Y. and Mancini, L. (2006): Out of sample forecasts of quadratic variation. Journal of Econometrics forthcoming.

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