For a semimartingale with jumps, we propose a new estimation method for integrated volatility, i.e., the quadratic variation of the continuous martingale part, based on the global jump filter proposed by Inatsugu and Yoshida [8]. To decide whether each increment of the process has jumps, the global jump filter adopts the upper $\alpha$-quantile of the absolute increments as the threshold. This jump filter is called global since it uses all the observations to classify one increment. We give a rate of convergence and prove asymptotic mixed normality of the global realized volatility and its variant "Winsorized global volatility". By simulation studies, we show that our estimators outperform previous realized volatility estimators that use a few adjacent increments to mitigate the effects of jumps.

翻译：对于带有跳跃的半边形,我们根据Insatsugu 和 Yoshida 提出的全球跳跃过滤器,提出一个新的综合波动估计方法,即连续马丁格尔部分的二次变异。为了确定这一过程的每次递增是否都有跳跃,全球跳跃过滤器采用绝对递增的上限$/alpha$-量值作为阈值。这个跳跃过滤器称为全球,因为它使用所有观测数据来分类一次递增。我们给出了全球已实现波动的趋同率,并证明全球已实现波动及其变异的“不稳全球波动”的无症状混合常态。通过模拟研究,我们显示我们的估计器比先前已实现的波动估计器要高一些相邻的递增来减轻跳跃效应。