Before revision:  Furthermore we are able to easily incorporate "middle-size" and "large-size" events within our framework . Results of a concrete implementation are provided.
After revision:  The empirical calibration procedure presented in this paper can be seen as the SDE-counterpart of the so called Filtered Historical Simulation method; the behavior of volatility stems in our case out of the assumptions on the underlying SDEs. Furthermore, we are able to easily incorporate "middle-size" and "large-size" events within our framework . Results of a concrete implementation are provided.