Abstract. We consider a stochastic process driven by diffusions and jumps. Given a discrete record of observations, we devise a technique for identifying the times when jumps larger than a suitably defined threshold occurred. This allows us to determine a consistent non‐parametric estimator of the integrated volatility when the infinite activity jump component is Lévy. Jump size estimation and central limit results are proved in the case of finite activity jumps. Some simulations illustrate the applicability of the methodology in finite samples and its superiority on the multipower variations especially when it is not possible to use high frequency data.
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