58 citations · 108 across the 5 of their papers we have counts for
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q-fin.ST2013★ 1 cited
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
Yingying Li, Zhiyuan Zhang, Xinghua Zheng
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a sett…
stat.ME2013
Statistical Properties of Microstructure Noise
Jean Jacod, Yingying Li, Xinghua Zheng
We study the estimation of moments and joint moments of microstructure noise. Estimators of arbitrary order of (joint) moments are provided, for which we establish consistency as w…