Li, Yingying; Zhang, Zhiyuan; Zheng, Xinghua - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2696-2727
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, and their asymptotic properties are studied. Our proposed estimator is compared with the existing...
