A growing literature has been advocating consistent kernel estimation of integrated variance in the presence of financial market microstructure noise. We find that, for realistic sample sizes encountered in practice, the asymptotic results derived for the proposed estimators may provide...

Vast empirical evidence points to the existence of a negative correlation, named ”leverage effect”, between shocks to variance and shocks to returns. We provide a nonparametric theory of leverage estimation in the context of a continuous-time stochastic volatility model with jumps in...

Excess market returns are correlated with past market variance. This dependence is statistically mild at short horizons (thereby leading to a hard-to-detect risk-return trade-off, as in the existing literature) but increases with the horizon and is strong in the long run (i.e., between 6 and 10...

A growing literature advocates the use of microstructure noise-contaminated high-frequency data for the purpose of volatility estimation. This paper evaluates and compares the quality of several recently-proposed estimators in the context of a relevant economic metric, i.e., profits from...