Before revision: This paper proposes generalization of the popular realized volatility framework by allowing its measurement in the time-frequency domain and bringing robustness to both noise as well as jumps. Based on the generalization of Fan and Wang (2007) approach using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we present new, general theory for wavelet decomposition of integrated variance.
After revision: This paper proposes generalization of the popular realized volatility framework by allowing its measurement in the time-frequency domain . Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we present new, general theory for wavelet decomposition of integrated variance.