Jing, Bing-Yi; Liu, Zhi; Kong, Xin-Bing - In: Journal of Business & Economic Statistics 32 (2014) 3, pp. 457-467
In this article, we propose a nonparametric procedure to estimate the integrated volatility of an Itô semimartingale in the presence of jumps and microstructure noise. The estimator is based on a combination of the preaveraging method and threshold technique, which serves to remove...