We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale asset price process. In contrast to existing theories based on the asymptotic notion of an increasing number of observations in local estimation blocks, our theory treats the...

This paper concerns the uniform inference for nonparametric series estimators in time-series applications. We develop a strong approximation theory of sample averages of serially dependent random vectors with dimensions growing with the sample size. The strong approximation is first proved for...

We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...