Da, Rui; Xiu, Dacheng - In: Econometrica 89 (2021) 6, pp. 2787-2825
We conduct inference on volatility with noisy high‐frequency data. We assume the observed transaction price follows a continuous‐time Itô‐semimartingale, contaminated by a discrete‐time moving‐average noise process associated with the arrival of trades. We estimate volatility, defined...