We introduce a class of nonparametric spot volatility estimators based on delta sequences and conceived to include many of the existing estimators in the field as special cases. The full limit theory is first derived when unevenly sampled observations under infill asymptotics and fixed...

We introduce a nonparametric estimator of the volatility function in univariate processes with Lévy type jumps and stochastic volatility when we observe the state variable at discrete times. Our results rely on the fact that it is possible to recognize the discontinuous part of the state...