  We derive a feasible criterion for the bias-optimal selection of the tuning
parameters involved in estimating the integrated volatility of the spot
volatility via the simple realized estimator by Barndorff-Nielsen and Veraart
(2009). Our analytic results are obtained assuming that the spot volatility is
a continuous mean-reverting process and that consecutive local windows for
estimating the spot volatility are allowed to overlap in a finite sample
setting. Moreover, our analytic results support some optimal selections of
tuning parameters prescribed in the literature, based on numerical evidence.
Interestingly, it emerges that window-overlapping is crucial for optimizing the
finite-sample bias of volatility-of-volatility estimates.
