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math.ST2023
Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent
Markus Bibinger, Michael Sonntag
We develop and investigate a test for jumps based on high-frequency observations of a fractional process with an additive jump component. The Hurst exponent of the fractional proce…
math.ST2023★ 3 cited
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
Markus Bibinger
We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy obs…