Debiased Kernel Estimation of Spot Volatility in the Presence of Infinite Variation Jumps (opens in new tab)

arXiv:2510.14285v2 Announce Type: replace-cross Abstract: Volatility estimation is a central problem in financial econometrics, but becomes particularly challenging when jump activity is high, a phenomenon observed empirically in highly traded financial securities. In this paper, we revisit the problem of spot volatility estimation for an It\^o semimartingale with jumps of unbounded variation. We construct truncated kernel-based estimators and debiased variants that extend rate-optimal spot v...