We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time … variation estimators. We use different simulation settings with changing noise as well as jump level in different price …

the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and …

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 …