A new intuitive estimator for quarticity is introduced with a stable central limit theorem at rate 1/sqrt(Δ_n) and asymptotic variance comparison to existing estimators.
Grundlehren der mathematischen Wissenschaften 288
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A note on estimation of quarticity based on spot volatility
A new intuitive estimator for quarticity is introduced with a stable central limit theorem at rate 1/sqrt(Δ_n) and asymptotic variance comparison to existing estimators.