This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also … provides consistent estimators of other powers of volatility in particular, it gives feasible ways to consistently estimate the … asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possess an intuitive …

This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also … provides consistent estimators of other powers of volatility – in particular, it gives feasible ways to consistently estimate … the asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possess an …

realized volatility. This noise is connected with all the reality of trade. In the paper we separate the microstructure noise …. However, this data contain, apart from the information about the price process, a microstructure noise causing a bias in the … from the price process and determine the noise to signal ratio for the estimates of the realized volatility in the case of …

We analyze empirically the determinants of Eurozone Treasury bills yields. Market microstructure as well as …

In this paper, we construct non parametric estimators of the volatility of volatility and the leverage component … (covariance between the asset price and the volatility process) in the framework of one dimensional stochastic volatility model … the entire trajectory of the volatility. Thus, we handle the volatility as an observable variable and the Fourier …

Fourier coefficients of the volatility process. This feature constitutes a novelty in comparison with the leverage estimators … proposed in the literature generally based on a pre-estimation of the spot volatility. Our estimator is proved to be consistent … observations of the price path and microstructure noise contaminations. …

version of the pre-averaged Hayashi–Yoshida estimator, and we show that such a kind of estimator has the consistency and the …