This paper studies nonparametric estimation of the integrated
volatility of Poisson jump-diffusion processes with noisy high-frequency data. We
propose jump-robust two-scale and multi-scale estimators. The estimators are based on
a combination of the multi-scale method and threshold technique, which serves to remove
microstructure noise and jumps, respectively. Furthermore, asymptotic properties of the
proposed estimators, such as consistency, are established.
YE Xuguo,LIN Jinguan. Nonparametric Estimation of the Integrated Volatility of Jump-Diffusion Processes with Noisy High-Frequency Data[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2016, 32(6): 581-591.