In this paper, we construct non parametric estimators of the volatility of volatility and the leverage component (covariance between the asset price and the volatility process) in the framework of one dimensional stochastic volatility model. The main feature of our estimator is that, given...

In this paper, we define a new estimator of the leverage stochastic process based only on a pre-estimation of the Fourier coefficients of the volatility process. This feature constitutes a novelty in comparison with the leverage estimators proposed in the literature generally based on a...