Bias-optimal vol-of-vol estimation: the role of window overlapping

The simplest and most natural vol-of-vol estimator, the pre-estimated spot variance-based realized variance, is typically plagued by a large finite-sample bias. In this paper, we analytically show that allowing for overlap of consecutive local windows to pre-estimate variance may correct particular, provide feasible rule bias-optimal selection length when volatility CKLS process. effectiveness practical applications supported numerical empirical analyses.