A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
舍入误差与随机市场微观结构噪声并存时的统一波动率估计
Widely used volatility estimation methods mainly consider one of the following two simple microstructure noise models: random additive noise on log prices, or pure rounding errors. Apparently in real data these two types of noise co-exist. In this paper, we discover a common feature of these two types of noise and propose a unified volatility estimation approach in the presence of both rounding and random noise. Our data-driven method enjoys superior properties in terms of…