This paper proposes using realized range-based estimators to draw inference about the quadratic variation of jump-diffusion processes. We also construct a range-based test of the hypothesis that an asset price has a continuous sample path. Simulated data shows that our approach is efficient, the...

Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized range-based variance and propose a bias-correction to...

Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized range-based variance and propose a bias-correction to...

This web-appendix provides further results and illustrations as referred to in the main paper.The paper "Fact or Friction: Jumps at Ultra High Frequency" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=1848774" http://ssrn.com/abstract=1848774

This paper presents a Hayashi-Yoshida type estimator for the covariation matrix of continuous Itô semimartingales observed with noise. The coordinates of the multivariate process are assumed to be observed at highly frequent nonsynchronous points. The estimator of the covariation matrix is...

We show how pre-averaging can be applied to the problem of measuring the ex-post covariance of financial asset returns under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an asymptotic theory for this new estimator, which can be...

This paper presents a short survey on limit theorems for certain functionals of semimartingales, which are observed at high frequency. Our aim is to explain the main ideas of the theory to a broader audience. We introduce the concept of stable convergence, which is crucial for our purpose. We...

In this paper we study the asymptotic behaviour of power and multipower variations of stochatstic processes. Processes of the type considered serve in particular, to analyse data of velocity increments of a uid in a turbulence regime with spot intermittency sigma. The purpose of the present...

We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower...

In this paper, we propose a nonparametric way to test the hypothesis that time-variation in intraday volatility is caused solely by a deterministic and recurrent diurnal pattern. We assume that noisy high-frequency data from a discretely sampled jump-diffusion process are available. The test is...