type="main" xml:id="jtsa12082-abs-0001"The availability of high-frequency financial data has led to substantial improvements in our understanding of financial volatility. Most existing literature focuses on estimating the integrated volatility over a fixed period. This article proposes a...

This paper considers the problem of estimating spot volatility in the simultaneous presence of Lévy jumps and market microstructure noise. We propose to use the pre-averaging approach and the threshold kernel-based method to construct a spot volatility estimator, which is robust to both...