Bipower-type estimation in a noisy diffusion setting
نویسندگان
چکیده
We consider a new class of estimators for volatility functionals in the setting of frequently observed Itō diffusions which are disturbed by i.i.d. noise. These statistics extend the approach of pre-averaging as a general method for the estimation of integrated volatility in the presence of microstructure noise and are closely related to the original concept of bipower variation in the no-noise case. We show that this approach provides efficient estimators for arbitrary powers of volatility and obtain as a by-product a simple test for the presence of jumps in the underlying process.
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تاریخ انتشار 2008