contaminations. The microstructure noise creates a dichotomy in the model-free estimation of integrated volatility. While it is …. Using asymptotic arguments as in the extant theoretical literature on the subject, we argue that the realized volatility … estimator diverges to infinity almost surely when noise plays a role. While realized volatility cannot be a consistent estimate …

focuses on the effect of the presence of jumps on the estimation of the volatility parameters, and the effect of the presence …

frequency data, which are often used to compute model free measures of volatility, such as realized volatility. In this paper we … estimating volatility using high frequency data, such a bias grows less than linearly in the number of intraday observatio …

high frequency data, which are often used to compute model free measures of volatility, such as realized volatility. In …

behavior could be an illusion generated by occasional level shifts then inducing the observed persistence, while most shocks …