"LIC "-//W3C//DTD HTML 4.01 Transitional//EN" "http://www.w3.org/TR/html4/loose.dtd"Jump-Robust Volatility Estimation using Nearest Neighbor Truncation var djConfig = { parseOnLoad: true, isDebug: false };NATIONAL BUREAU OF ECONOMIC RESEARCH HOME PAGE Jump-Robust Volatility Estimation using...

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...