On the Estimation of Integrated Volatility With Jumps and Microstructure Noise
提出一种非参数方法，结合预平均和阈值技术，在存在跳跃和微观结构噪声时估计积分波动率，适用于有限和无限活动跳跃，并建立了渐近性质。
In this article, we propose a nonparametric procedure to estimate the integrated volatility of an Itô semimartingale in the presence of jumps and microstructure noise. The estimator is based on a combination of the preaveraging method and threshold technique, which serves to remove microstructure noise and jumps, respectively. The estimator is shown to work for both finite and infinite activity jumps. Furthermore, asymptotic properties of the proposed estimator, such as consistency and a central limit theorem, are established. Simulations results are given to evaluate the performance of the proposed method in comparison with other alternative methods.