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At-Sahalia, Y. and Jacod, J. (2011) Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data. Journal of Economic Literature, 50, 1007-1050.
https://doi.org/10.1257/jel.50.4.1007

has been cited by the following article:

• TITLE: The Estimation of the Spot Volatility for Diffusion Process

  AUTHORS: Weiwei Xu, Xin Yang, Shanchao Yang

  KEYWORDS: Diffusion Process, Spot Volatility, GM Type Estimation, Asymptotic Property

  JOURNAL NAME: Open Journal of Statistics, Vol.11 No.2, April 21, 2021

  ABSTRACT: In this paper, we propose a Gasser-Müller type spot volatility estimator (abbreviated as GM type estimator) for diffusion process, which is weighted by integrals, it is different from the kernel spot volatility estimator discussed by Kristensen (2010). Under more general conditions, the asymptotic unbiasedness and the asymptotic normality of the GM type estimator are derived. The simulation results show that the GM type spot volatility estimator has good estimation effect, and its mean square error tends to be less than that of the kernel spot volatility estimator discussed by Kristensen (2010), so it provides a selection method for estimating the spot volatility in high frequency data environment.