Realized candlestick wicks
提出一种基于日内蜡烛图芯线长度的非参数积分方差估计量，对短期极端价格波动（如渐进跳跃和闪崩）具有稳健性，且渐近方差比现有差分收益波动估计量小约四倍。
We develop a novel nonparametric estimator of integrated variance by summing up the squared wick lengths of intraday candlesticks over a fixed time interval. The proposed wick-based estimator is robust to short-lived extreme price movements, such as gradual jumps and flash crashes. We investigate the asymptotic properties of the proposed estimator, and show that its asymptotic variance is about four times smaller than the state-of-the-art differenced-return volatility (DV) estimator. We also develop a Hausman-type test for the presence of both jumps and episodic extreme price movements. Monte Carlo simulations and empirical applications further validate the practical reliability of our proposed estimator.