Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2007
particular, as the bandwidth vanishes, an estimator of the realised spot volatility is obtained. We denote this the filtered spot … volatility. We show con- sistency and asymptotic normality of the kernel smoothed realised volatility and the filtered spot … volatility. The choice of bandwidth is discussed and data- driven selection methods proposed. A simulation study examines the …