A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements …, and the 30-year U.S. Treasury bond yield, we find the jump component of the price process to be distinctly less persistent …

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … informed conjectures as to improved volatility estimation methods. -- Realized Volatility ; Market Microstructure Theory ; High … between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The …