---
title: Adaptive Robust Volatility Estimation for High-Frequency Data
url: https://www.ml-quant.com/papers/ssrn/4539949/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4539949
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4539949
featured: 2023-08-17
citations: unknown
topic: Derivatives & Volatility
---


# Adaptive Robust Volatility Estimation for High-Frequency Data

The paper presents the ARP estimator, a new tool for handling heterogeneous heavy-tailed distributions in high-frequency financial data.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4539949
- Identifier: SSRN 4539949
- Released: 2021-03-26
- First featured: Quant Letter No. 12 (2023-08-17): https://www.ml-quant.com/issues/2023-08-17/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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