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Glivenko--Cantelli Theorems for Integrated Volatility Functionals in Pure-Jump Semimartingales with an Application to Cryptocurrency Markets
We develop a two-step procedure for estimating integrated volatility functionals, defined through the occupation measure of the latent spot volatility process, when the asset price is a pure-jump semimartingale. In the first step, block-based estimators formed from absolute powers of high-frequency
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