Threshold estimation of Markov models with jumps and interest rate modeling

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Outlyingness weighted covariation (2011, unknown): “The constant c is usually calibrated at a multiple (often 9) of a first step estimate of the daily volatility (Äıt-Sahalia and Jacod, 2009), such as the realized bipower variation (Jacod and Todorov, 2009) or the GARCH volatility prediction (Mancini and Renó, 2011).”
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting (2010, unknown): “Mancini and Renò (2009) use instead a Garch(1,1) process.”
HAR Modeling for Realized Volatility Forecasting (2012, unknown): “Recent research focusing on jump detection and volatility measuring in presence of jumps includes [12], [62], [59], [56], [2], [1], [29], [63] and [24].”
Nonparametric tests for pathwise properties of semimartingales (2011, background): “(i) For α < 1, our statement is proved in [21], Lemma A.”