Two decades ago the authors of this book undertook the study of the errors one makes when
numerically approximating the solutions of stochastic differential equations driven by Lévy …

When estimating integrated volatilities based on high-frequency data, simplifying
assumptions are usually imposed on the relationship between the observation times and the …

We establish estimation methods to determine co-jumps in multivariate high-frequency data
with non-synchronous observations and market microstructure. A rate-optimal estimator of …

We derive a nonparametric test for constant beta over a fixed time interval from high-
frequency observations of a bivariate Itô semimartingale. Beta is defined as the ratio of the …

The availability of high frequency financial data has generated a series of estimators based
on intra‐day data, improving the quality of large areas of financial econometrics. However …

This paper introduces adaptiveness to the non-parametric estimation of volatility in high
frequency data. We consider general continuous Itô processes contaminated by …

We propose a new estimator for the integrated covariance of two Itô semimartingales
observed at a high frequency. This new estimator, which we call the pre-averaged truncated …

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 …

We investigate price duration variance estimators that have long been neglected in the
literature. In particular, we consider simple-to-construct non-parametric duration estimators …

When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets
observed asynchronously, simple assumptions, such as independence, are usually imposed …