High frequency variability and microstructure bias

This paper treats the multiscale estimation of integrated volatility of an Itˆo process immersed in high-frequency correlated noise. The multiscale structure of the problem is modelled explicitly, and the multiscale ratio is used to quantify energy contributions from the noise, estimated using the Whittle likelihood. This problem becomes more complicated as we allow the noise structure greater flexibility, and properties of the estimation is discussed via a simulation study