Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - Tinbergen Instituut - 2009
-389.<p> This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … nonparametric methods. The estimated spot variance path can be used to extend an existing high frequency jump test statistic, to … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …