NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg

NBER Working Paper No. 15533
Issued in November 2009

---- Acknowledgements -----

We are grateful to Federico Bandi, Luca Benzoni, Jean Jacod, Per Mykland, Roel Oomen, Roberto RenĂ², Neil Shephard, Viktor Todorov, Lan Zhang, and, in particular Mark Podolskij and Kevin Sheppard for their insights. We also thank participants at the Singapore Management University Conference in Honor of P.C.B. Phillips, July 2008, the CREATES Volatility Symposium, Aarhus, August 2008, the Chicago/London Conference on Financial Markets, December 2008, the Humboldt-Copenhagen Conference on Recent Developments in Financial Econometrics, Berlin, March 2009, the North American Summer Meeting of the Econometric Society, Boston, June 2009, the First European Conference of the Society for Financial Econometrics, Geneva, June 2009, as well as seminar participants at the Federal Reserve Board and the U.S. Commodity Futures Trading Commission for their comments.

Andersen gratefully acknowledges financial support from the NSF through a grant to the NBER and by CREATES funded by the Danish National Research Foundation. The views in this paper are solely those of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System, the Federal Reserve Bank of New York, any other person associated with the Federal Reserve System, or the National Bureau of Economic Research.

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