Abstract :
A kernel weighted version of the standard realized integrated volatility estimator
is proposed. By different choices of the kernel and bandwidth, the measure allows
us to focus on specific characteristics of the volatility process. In particular, as the
bandwidth vanishes, an estimator of the realized spot volatility is obtained. We denote
this the filtered spot volatility. We show consistency and asymptotic normality
of the kernel smoothed realized volatility and the filtered spot volatility.We consider
boundary issues and propose two methods to handle these. The choice of bandwidth
is discussed and data-driven selection methods are proposed. A simulation study
examines the finite sample properties of the estimators.
