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英文文献：Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9-连续情况下的微结构噪声:预平均方法- JLMPV-9
英文文献作者：Jean Jacod,Yingying Li,Per A. Mykland,Mark Podolskij,Mathias Vetter
英文文献摘要：
This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility – in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possess an intuitive transparency, can generate rate optimal estimators (with convergence rate n-1/4).
本文提出了一种估计综合波动率的广义预平均方法。该方法还提供了其他波动率幂的一致估计-特别是，它给出了一致估计综合波动率估计器的渐近方差的可行方法。我们证明，我们的方法，具有直观的透明度，可以产生速率最优估计(收敛率n-1/4)。
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