maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive … analysis. It is shown that changing the sign of the persistence parameter changes the asymptotic theory for the MLE, including … the rate of convergence and the limiting distribution. It is also found that the asymptotic theory depends on the value of …

We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale … in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility … estimator is no longer consistent, the new theory permits the construction of asymptotically valid and easy …