论文标题：On the Estimation of Integrated Volatility in the Presence of Jumps and Microstructure Noise

　　发表时间：2020

　　论文所有作者：Christian Brownlees, Eulalia Nualart, Yucheng Sun

　　期刊名及所属分类：Econometric Reviews(国际B)

　　英文摘要：This paper is concerned with the problem of the estimation of the integrated volatility of log-prices based on high frequency data when both price jumps and market microstructure noise are present. We begin by providing a survey of the leading estimators introduced in the literature to tackle volatility estimation in this setting. We then introduce novel integrated volatility estimators based on a truncation technique and establish their properties. Finally, we carry out a simulation study to compare the performance of the different estimation techniques.

　　中文摘要：本文研究了在存在价格跳跃和市场微观结构噪声的情况下，基于高频数据的对数价格综合波动率的估计问题。我们首先对文献中介绍的用于处理这种情况下的波动性估计的主要估计器进行调查。在此基础上，我们引入了一种新的基于截断技术的积分波动估计器，并建立了它们的性质。最后，我们进行了仿真研究，比较了不同估计技术的性能。