{"paper":{"title":"Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["econ.EM","q-fin.ST","stat.TH"],"primary_cat":"math.ST","authors_text":"Jos\\'e E. Figueroa-L\\'opez, Qi Wang, Todd Kuffner","submitted_at":"2019-09-11T05:06:47Z","abstract_excerpt":"Volatility estimation based on high-frequency data is key to accurately measure and control the risk of financial assets. A L\\'{e}vy process with infinite jump activity and microstructure noise is considered one of the simplest, yet accurate enough, models for financial data at high-frequency. Utilizing this model, we propose a \"purposely misspecified\" posterior of the volatility obtained by ignoring the jump-component of the process. The misspecified posterior is further corrected by a simple estimate of the location shift and re-scaling of the log likelihood. Our main result establishes a Be"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1909.04853","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/1909.04853/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}