Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of Econometrics 169 (2012) 1, pp. 75-93
We propose two new jump-robust estimators of integrated variance that allow for an asymptotic limit theory in the presence of jumps. Specifically, our MedRV estimator has better efficiency properties than the tripower variation measure and displays better finite-sample robustness to jumps and...