When the covariance between the risk factors of asset prices is due to both Brownian and jump components, the realized covariation (RC) approaches the sum of the <italic>integrated covariation</italic> (IC) with the sum of the co-jumps, as the observation frequency increases to infinity, in a finite and fixed...

In this paper, new fully nonparametric estimators of the diffusion coefficient of continuous time models are introduced. The estimators are based on Fourier analysis of the state variable trajectory observed and on the estimation of quadratic variation between observations by means of realized...