We investigated the effects of low-dose multi detector computed tomography (MDCT) in combination with statistical iterative reconstruction algorithms on trabecular bone microstructure parameters. Twelve donated vertebrae were scanned with the routine radiation exposure used in our department (standard-dose) and a low-dose protocol. Reconstructions were performed with filtered backprojection (FB...

Recent literature on realized volatility suggests that the observed price process of an asset may be decomposed into two parts: the genuine (unobservable) price process and microstructure noise. In this article we present a methodology to estimate stochastic volatility by separating these components. Depending on market liquidity, the source of a move in the transaction price of an asset may be...

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in microstructure noise. Using transaction data of different stocks traded at the NYSE, we analyze the estimator...

The recent availability of high frequency data has permitted more efficient ways of computing volatility. However, estimation of volatility from asset price observations is challenging because observed high frequency data are generally affected by noise-microstructure effects. We address this issue by using the Fourier estimator of instantaneous volatility introduced in Malliavin and Mancino 20...

Asset prices observed in financial markets combine equilibrium prices and market microstructure noise. In this paper, we study how to tell apart large shifts in equilibrium prices from noise using high frequency data. We propose a new nonparametric test which allows us to asymptotically remove the noise from observable price data and to discover jumps in fundamental asset values. We provide its...

With the availability of high frequency financial data, nonparametric estimation of volatility of an asset return process becomes feasible. A major problem is how to estimate the volatility consistently and efficiently, when the observed asset returns contain error or noise, for example, in the form of microstructure noise. The former (consistency) has been addressed heavily in the recent liter...

The finite sample properties of the Fourier estimator of integrated volatility under market microstructure noise are studied. Analytic expressions for the bias and the mean squared error of the contaminated estimator are derived. These formulae can be practically used to design optimal MSE-based estimators, which are very robust and efficient in the presence of noise. Moreover an empirical anal...

We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Scales Realized Volatility (TSRV) computed from high frequency data in the presence of market microstructure noise, under several different dynamics for the volatility process and assumptions on the noise. We show that TSRV largely outperforms RV, whether looking at bias, variance, RMSE or out-of-s...