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A remark on the rates of convergence for integrated volatility estimation in the presence of jumps

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References

2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
2011Discretization of Processes486 cited
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2001Disentangling the jumps of the diffusion in a geometric jumping Brownian motion120 cited

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2020Estimation for high-frequency data under parametric market microstructure noise27 cited
2018Wasserstein and total variation distance between marginals of Lévy processes26 cited
2013Volatility occupation times26 cited
2015Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method23 cited
2013Volatility occupation times22 cited
2014High-frequency Donsker theorems for Levy measures20 cited

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2013Testing the characteristics of a Lévy process17 cited

2015High-frequency Donsker theorems for Lévy measures15 cited