Microdata have become increasingly important for economic and social analyses. One striking problem with almost any practical analysis of microdata, microdata as a singular cross or longitudinal sample or within (static) microsimulation, is to achieve representative results. In this study a...

Microdata have become increasingly important for economic and social analyses. One striking problem with almost any practical analysis of microdata, microdata as a singular cross or longitudinal sample or within (static) microsimulation, is to achieve representative results. In this study a...

Microdata have become increasingly important for economic and social analyses. One striking problem with almost any practical analysis of microdata, microdata as a singular cross or longitudinal sample or within (static) microsimulation, is to achieve representative results.In this study a...

We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...

We propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...

We propose a new estimator for the integrated covariance of two Ito semimartingales observed at a high-frequency. This new estimator, which we call the pre-averaged truncated Hayashi-Yoshida estimator, enables us to separate the sum of the co-jumps from the total quadratic covariation even in...

We put forward two jump-robust estimators of integrated volatility, namely realized information variation (RIV) and realized information power variation (RIPV). The "information" here refers to the difference between two-grid of ranges in high-frequency intervals, which preserves continuous...