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Vetter, Mathias
Podolskij, Mark
Year of Publication: 
Series/Report no.: 
Technical Report 2006,51
We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower variation is proven. Under further assumptions we prove stable convergence of our estimates with the optimal rate n-1/4). Moreover, we construct estimates which are robust to finite activity jumps.
Bipower Variation
Central Limit Theorem
Finite Activity Jumps
High-Frequency Data
Integrated Volatility
Microstructure Noise
Document Type: 
Working Paper

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