B. Cooper Boniece, José E. Figueroa-López, Tianwei Zhou
arXiv 16 Oct 2025 · Econometrics
arXiv:2510.14285 · PDF · Extracted main text
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 Itô semimartingale with jumps of unbounded variation. We construct truncated kernel-based estimators and debiased variants that extend the efficiency frontier for spot volatility estimation in terms of the jump activity index $Y$, raising the previous bound $Y<4/3$ to $Y<20/11$, thereby covering nearly the entire admissible range $Y<2$. Compared with earlier work, our approach attains smaller asymptotic variances through the use of unbounded kernels, is simpler to implement, and has broader applicability under more flexible model assumptions. A comprehensive simulation study confirms that our procedures substantially outperform competing methods in finite samples.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Q. Liu, Y. Liu, and Z. Liu (2018) Estimating spot volatility in the presence of infinite variation jumps | 1.000 | 22 | 4 | 100% |
| 2 | J. Jacod and V. Todorov (2014) Efficient estimation of integrated volatility in presence of infinite variation jumps | 1.000 | 10 | 3 | 100% |
| 3 | J. E. Figueroa-López and B. Wu (2024) Kernel estimation of spot volatility with microstructure noise using pre-averaging | 1.000 | 7 | 4 | 100% |
| 4 | J. Jacod and P. Protter (2012) Discretization of Processes | 0.974 | 13 | 3 | 92% |
| 5 | D. Kristensen (2010) Nonparametric filtering of the realized spot volatility: A kernel-based approach | 0.737 | 3 | 2 | 100% |
| 6 | J. Fan and Y. Wang (2008) Spot volatility estimation for high-frequency data | 0.644 | 2 | 2 | 100% |
| 7 | J. E. Figueroa-López and C. Li (2020) Optimal kernel estimation of spot volatility of stochastic differential equations | 0.644 | 2 | 2 | 100% |
| 8 | B. C. Boniece, J. E. Figueroa-López, and Y. Han (2024) Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations self | 0.597 | 47 | 5 | 21% |
| 9 | J. E. Figueroa-López and C. Li (2020) Supplement to “optimal kernel estimation of spot volatility of stochastic differential equations” self | 0.511 | 2 | 1 | 100% |
| 10 | R. Cont and C. Mancini (2011) Nonparametric tests for pathwise properties of semimartingales | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 19 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | A nonparametric test for diurnal variation in spot correlation processes | 0.405 | 1 | 1 |