On the estimation of integrated volatility in the presence of jumps and microstructure noise
综述了在高频数据同时存在价格跳跃和微观结构噪声时积分波动率的主要估计方法，提出了基于截断技术的新估计量，并通过模拟比较了不同方法的性能。
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.