Nonparametric inference for spot volatility in pure-jump semimartingales
纯跳半鞅中即期波动率的非参数推断
We provide a comprehensive analysis of spot volatility inference in pure-jump semimartingales under two asymptotic settings: fixed-$k$, where each local window uses a fixed number of observations, and large-$k$, where this number grows with sampling frequency. For both active- and possibly inactive-jump settings, we derive generally nonstandard, typically non-Gaussian limit distributions and establish valid inference, including when the jump-activity index is consistently…