Integrated Volatility -- Zero-inflated Data Generation Processes -- Algorithmic Text Forecasting. …-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring … system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two …

way of characterizing these interactions, but complicates both interpretation and estimation of parameters of interest …. The estimation of these models leads to three fundamental challenges: the “reflection problem,” the presence of omitted … or spatial differencing—used to address these problems in reduced form estimation. These general lessons carry over to …

estimation is discussed, including Bayesian inference. Finally, applications are reviewed in fields such as economics, marketing …