semimartingales. Based on this new sampling scheme we propose a class of volatility estimators named renewal based volatility … based volatility estimators are consistent and jump-robust estimators of the integrated variance of a general semimartingale …

We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data … together with a coupling-type argument to directly tailor the form of the nonparametric estimator to the specific volatility …

Academic research on nonparametric "spot" volatility inference often relies on high-quality transaction data that are … volatility at a given time point. Under a standard infill asymptotic setting for Ito semimartingale price process, we show that … conventional spot volatility estimator based on high-frequency returns. An empirical illustration is provided, which documents the …

We consider estimation of the historical volatility of stock prices. It is assumed that the stock prices are … significant. We suggest some supplements to the existing non-parametric methods of volatility estimation. Two modifications of the … standard summation formula for the volatility are derived. In addition, a lineartransformation eliminating the appreciation …

-variance analysis of alternative investments has been hampered by the lack of a systematic treatment of volatility in these markets … underlying volatility. For example, in art markets, auction houses often give price guarantees to the seller that resemble put … the price index, allowing to treat the volatility parameter as the object of interest. The model can be estimated using …

individual effects on economic growth and volatility using the power-ARCH framework with annual data since the 1890s. The results …