The objective of this paper is to introduce the break preserving local linear (BPLL) estimator for the estimation of unstable volatility functions. Breaks in the structure of the conditional mean and/or the volatility functions are common in Finance. Markov switching models (Hamilton, 1989) and...

Several novel statistical methods have been developed to estimate large integrated volatility matrices based on high-frequency financial data. To investigate their asymptotic behaviors, they require a sub-Gaussian or finite high-order moment assumption for observed log-returns, which cannot...

Recently several large volatility matrix estimation procedures have been developed for factor-based Ito processes whose integrated volatility matrix consists of low-rank and sparse matrices. Their performance depends on the accuracy of input volatility matrix estimators. When estimating...