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.
<meaning-changed> 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.
We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time-frequency domain and bringing robustness to both noise as well as jumps.