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 integrated volatility. We show that our approach, which possess an intuitive …

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 integrated volatility. We show that our approach, which possess an …

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of …

The finite sample properties of the Fourier estimator of integrated volatility under market microstructure noise are …

can be applied when the efficient price exhibits stochastic volatility and jumps, the observation times are random and …We introduce a new method to estimate the integrated volatility (IV) based on noisy high-frequency data. Our method … employs the ReMeDI approach introduced by Li and Linton (2021a) to estimate the moments of the microstructure noise and …

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …