We establish a feasible central limit theorem with convergence rate $n^{1/8}$ for the estimation of the {integrated volatility of volatility} (VoV) based on noisy high-frequency data with jumps. This is the first inference theory ever built for VoV estimation under such a general setup. The...

We present a new and easy-to-implement sequential sampling method for CGMY processes with either finite or infinite variation, exploiting the time change representation of the CGMY model and a decomposition of its time change. We find that the time change can be decomposed into two independent...