Before revision:  We show that the technology can be directly applied to estimate volatility, high-frequency covariance, functionals of volatility and volatility of volatility in a general nonparametric framework where, depending on the problem at hand , price possibly includes infinite jump activity and sampling times encompass asynchronicity and endogeneity.
After revision:  We show that the technology can be directly applied to estimate volatility, high-frequency covariance, functionals of volatility and volatility of volatility in a general nonparametric framework where, depending on the problem , price possibly includes infinite jump activity and sampling times encompass asynchronicity and endogeneity.