Debiased truncated kernel estimators extend rate-optimal spot volatility estimation for Itô semimartingales from jump activity Y<4/3 to Y<20/11, with rate-suboptimal CLTs for higher Y and smaller asymptotic variances via general kernels and optimal bandwidth.
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Debiased Kernel Estimation of Spot Volatility in the Presence of Infinite Variation Jumps
Debiased truncated kernel estimators extend rate-optimal spot volatility estimation for Itô semimartingales from jump activity Y<4/3 to Y<20/11, with rate-suboptimal CLTs for higher Y and smaller asymptotic variances via general kernels and optimal bandwidth.