Before revision: We first revisit the problem of kernel estimation of spot volatility in a general continuous It\^o semimartingale model in the absence of microstructure noise, and prove a Central Limit Theorem with optimal convergence rate , which is an extension of Figueroa and Li (2020)
After revision: We first revisit the problem of kernel estimation of spot volatility in a general continuous It\^o semimartingale using a kernel estimator. We prove a Central Limit Theorem with optimal convergence rate , which is an extension of Figueroa and Li (2020)