A kernel weighted version of the standard realised integrated volatility estimator is proposed. By different choices of the kernel and bandwidth, the measure allows us to focus on specific characteristics of the volatility process. In particular, as the bandwidth vanishes, an estimator of the...

This paper develops power series expansions of a general class of moment functions, including transition densities and option prices, of continuous-time Markov processes, including jump di⁄usions. The proposed expansions extend the ones in Kristensen and Mele (2011) to cover general Markov...