Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise - Bibinger, Markus (Journal of applied probability, 2024)
Keywords: Algorithms; Approximation; Asymptotic properties; Asymptotic series; Brownian motion; Central limit theorem; Martingales; Microstructure; Monte Carlo simulation; Numerical analysis; Original Article; Prices; Random variables; Statistics; Time series; Volatility; 60J65; market microstructure; volatility estimation; Arcsine law; nonparametric boundary model; 62M09; 60F05; limit order book