In this paper, we propose a new jump robust quantile-based realised variance measure of ex-post return variation that can be computed using potentially noisy data. The estimator is consistent for the integrated variance and we present feasible central limit theorems which show that it converges...

In this paper, we propose a new jump robust quantile-based realised variance measure of ex-post return variation that can be computed using potentially noisy data. The estimator is consistent for the integrated variance and we present feasible central limit theorems which show that it converges...