Modelling microstructure noise with mutually exciting point processes

Asymptotic equivalence for inference on the volatility from noisy observations

(2011) Markus Reiß   ANNALS OF STATISTICS

Adaptive estimation for Hawkes processes; application to genome analysis

(2010) Patricia Reynaud-Bouret et al.   ANNALS OF STATISTICS

Ultra high frequency volatility estimation with dependent microstructure noise

(2010) Yacine Aït-Sahalia et al.   JOURNAL OF ECONOMETRICS

A new microstructure noise index

(2010) Mathieu Rosenbaum   QUANTITATIVE FINANCE

Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise

(2010) Axel Munk et al.   Electronic Journal of Statistics

Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

(2009) Mark Podolskij et al.   BERNOULLI

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

(2008)   ECONOMETRICA

Microstructure noise in the continuous case: The pre-averaging approach

(2008) Jean Jacod et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS