Nonparametric Estimation of the Integrated Volatility of Jump-Diffusion Processes with Noisy High-Frequency Data
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Abstract
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.
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