Before revision:  Simulation studies  show that it is not only feasible to implement the higher-order local optimal threshold scheme but also that this is superior to those based only on the first order approximation and/or on average values of the parameters over the estimation time period.
After revision:  Simulation studies for a prototypical stochastic volatility model show that it is not only feasible to implement the higher-order local optimal threshold scheme but also that this is superior to those based only on the first order approximation and/or on average values of the parameters over the estimation time period.