illustrates that the nonparametric estimation method works well in finite and large samples. Empirically, the predictability of …

The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence … memory requires major revisions in the standard estimation procedures without which the estimated results can be seriously …

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …

with in-fill asymptotic arguments for uniquely identifying the \large" jumps from the data. The estimation allows for very … variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …

with in-fill asymptotic arguments for uniquely identifying the "large" jumps from the data. The estimation allows for very … variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …