Volatility of volatility: estimation and tests based on noisy high frequency data with jumps

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Cited In (6)

Asymptotic normality of Nadaraya–Waton kernel regression estimation for mixing high-frequency data
Statistical inference for rough volatility: central limit theorems
From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
On measuring volatility of diffusion processes with high frequency data
Testing for jumps in noisy high frequency data
Volatility of volatility and leverage effect from options

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