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econ.EM2022★ 1 cited
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Qiang Liu, Zhi Liu
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including i…
econ.EM2020
Heteroscedasticity test of high-frequency data with jumps and microstructure noise
Qiang Liu, Zhi Liu, Chuanhai Zhang
In this paper, we are interested in testing if the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and micros…