We study nonparametric estimation of the volatility function of a diffusion process from discrete data, when the data are blurred by additional noise. This noise can be white or correlated, and serves as a model for microstructure effects in financial modeling, when the data are given on an...

This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coefficients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...

We provide a set of probabilistic laws for range-based estimation of integrated variance of a continuous semi-martingale. To accomplish this, we exploit the properties of the price range as a volatility proxy and suggest a new method for non-parametric measurement of return variation. Assuming...