Jacod, Jean Li, Yingying Mykland, Per A. Podolskij, Mark Vetter, Mathias
Year of Publication:
Technical Report 2007,41
This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possess an intuitive transparency, can generate rate optimal estimators (with convergence rate n-1/4).