frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …. -- Quadratic Variation ; Market Microstructure Noise ; Pre-averaging ; Sampling Schemes ; Jumps …

frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …. -- Quadratic Variation ; MarketMicrostructure Noise ; Pre-averaging ; Sampling Schemes ; Jumps …

Simulations of agent-based models have shown that the stylized facts (unit-root, fat tails and volatility clustering … phenomenological volatility models analyzed in LeBaron [25], the usual statistical tests are not able to distinguish between true or …

conducted under a nonparametric setting, which allows the underlying price process to have jumps, the observation times to be … performance of our estimators in the presence of jumps, irregular observation times, and even rounding. Empirical studies reveal …