310 citations · 377 across the 2 of their papers we have counts for
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math.ST2012★ 17 cited
Model checks for the volatility under microstructure noise
Mathias Vetter, Holger Dette
We consider the problem of testing the parametric form of the volatility for high frequency data. It is demonstrated that in the presence of microstructure noise commonly used test…
math.ST2010★ 67 cited
Limit theorems for moving averages of discretized processes plus noise
Jean Jacod, Mark Podolskij, Mathias Vetter
This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise which are observed at high frequency. Our method generalizes the pr…
math.ST2009★ 310 cited
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Mark Podolskij, Mathias Vetter
We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quanti…