compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The …-martingale hypothesis of the stock log-price process and estimate the daily realized volatility. Our method improves the normality … approximation of the standardized business-time return distribution. Our Monte Carlo results show that the integrated volatility …

jumps over a grid of thresholds and selects the optimal threshold at what we term the “take-off” point in the estimated … number of jumps. We show that this method consistently estimates the jumps and their indices as the sampling interval goes to … jumps and its ability to distinguish between true jumps and large diffusive moves. In one of these Monte Carlo studies we …

jumps over a grid of thresholds and selects the optimal threshold at what we term the ‘take-off’ point in the estimated … number of jumps. We show that this method consistently estimates the jumps and their indices as the sampling interval goes to … jumps and its ability to distinguish between true jumps and large diffusive moves. In one of these Monte Carlo studies we …