Todorov, Viktor; Tauchen, George - In: Journal of the American Statistical Association 107 (2012) 498, pp. 622-635
This article develops a nonparametric estimator of the stochastic volatility density of a discretely observed Itô semimartingale in the setting of an increasing time span and finer mesh of the observation grid. There are two basic steps involved. The first step is aggregating the high-frequency...