experiment in terms of the square root of the volatility function .... As an application, simple rateoptimal estimators of the … volatility and efficient estimators of the integrated volatility are constructed. -- High-frequency data ; integrated volatility …; spot volatility estimation ; Le Cam deficiency ; equivalence of experiments ; Gaussian shift …

idiosyncratic volatility is notoriously difficult and complex, especially in the presence of jumps, microstructure noise and … volatility and realized R-Squared. Because the residual process is latent in the high frequency regression, the estimation of … methodology is robust to jumps, microstructure noise and asynchronous observation times simultaneously. Analytical bias correction …