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1 paper

econ.EM2025

Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators

José E. Figueroa-López, Jincheng Pang, Bei Wu

For a multidimensional Itô semimartingale, we consider the problem of estimating integrated volatility functionals. Jacod and Rosenbaum (2013) studied a plug-in type of estimator…