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 … of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two …

sampling nor maxi- mum likelihood estimation significantly reduces the estimation error of the volatility parameter of the …. Using high frequency transaction data from the U.S. equity market, we find the estimator of the volatility parameter to be … most favored parametric estimation methods, the Method of Moments Estimators (MME) and the Maximum Likelihood Estimators …