Before revision:  For the decomposition, we use jump wavelet two scale realized volatility estimator (JWTSRV) of Barunik and Vacha (2012). While the main advantage of our time-frequency estimator is that it provides us with realized volatility measure robust to noise as well as with consistent estimate of jumps, it also allows to decompose volatility into the several investment horizons  .
After revision:  For the decomposition, we use jump wavelet two scale realized volatility estimator (JWTSRV) , we first decompose the returns volatility into several investment horizons .