volatility and persistence using the Hurst exponent. We determined the peaks, downturns and duration of the money laundering …

In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic … jump and continuous component from the realized volatility. We also tried to investigate whether dividing volatility into … simple and threshold jumps and continuous variation yields a substantial improvement in volatility forecasting or not. The …

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of …, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …