We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is …-day data into the Realized Laplace Transform of volatility, which is a model-free and jump-robust estimate of daily integrated … empirical Laplace transform of the unobservable volatility. The estimation then is done by matching moments of the integrated …

We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high … characteristic function of the price increment until the options’ expiration and we use these estimates to recover spot volatility …. Our volatility of volatility estimator is then formed from the sample variance and first-order autocovariance of the spot …