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math.ST2026
Glivenko--Cantelli Theorems for Integrated Volatility Functionals in Pure-Jump Semimartingales with an Application to Cryptocurrency Markets
Dachuan Chen, Jia Li, Tian Xie +1
We develop a two-step procedure for estimating integrated volatility functionals, defined through the occupation measure of the latent spot volatility process, when the asset price…
math.ST2026
Nonparametric inference for spot volatility in pure-jump semimartingales
Chengxin Yan, Dachuan Chen, Jia Li
We provide a comprehensive analysis of spot volatility inference in pure-jump semimartingales under two asymptotic settings: fixed-, where each local window uses a fixed number…