In this article, we propose a nonparametric procedure to estimate the integrated volatility of an Itô semimartingale in the presence of jumps and microstructure noise. The estimator is based on a combination of the preaveraging method and threshold technique, which serves to remove...

Empirical evidence of asset price discontinuities or “jumps” in financial markets has been well documented in the literature. Recently, Aït-Sahalia and Jacod (2009b) defined a general “jump activity index” to describe the degree of jump activities for asset price semimartingales, and...