We study nonparametric estimation of the volatility function of a diffusion process from discrete data, when the data … constraints of Besov type. Since the underlying signal (the volatility) is genuinely random, we propose a new criterion to assess … volatility …

volatility and realized R-Squared. Because the residual process is latent in the high frequency regression, the estimation of … idiosyncratic volatility is notoriously difficult and complex, especially in the presence of jumps, microstructure noise and … features of the idiosyncratic volatility estimate and the realized R-Squared estimate …

experiment in terms of the square root of the volatility function .... As an application, simple rateoptimal estimators of the … volatility and efficient estimators of the integrated volatility are constructed. -- High-frequency data ; integrated volatility …; spot volatility estimation ; Le Cam deficiency ; equivalence of experiments ; Gaussian shift …

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …