We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale … in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility … estimator is no longer consistent, the new theory permits the construction of asymptotically valid and easy …

first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals …

asymptotic validity using a uniform nonparametric inference method based on a new strong approximation theory for mixingales. The …

strong approximation theory of sample averages of serially dependent random vectors with dimensions growing with the sample …