英文文献：Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - 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).