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Are Volatility Estimators Robust with Respect to Modeling Assumptions?

BERNOULLI, no. 3 (2007): 601-622

Cited: 82|Views20

Abstract

We consider microstructure as an arbitrary contamination of the underlying latent securities price, through a Markov kernel Q. Special cases include additive error, rounding and combinations thereof. Our main result is that, subject to smoothness conditions, the two scales realized volatility is robust to the form of contamination Q. To p...More

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