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

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...