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, a solution refinement requiring continuity of solution coefficients with respect to basic parameters implies this same …
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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...
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. Then we give conditions on C and D allowing to preserve continuity or Lipschitz properties, extending the results in Laraki … (2001a) obtained for the convexification operator. These results are finally used, through the analysis of the asymptotic …
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