, based on realized volatility (Andersen and Bollerslev 1998, and others), to estimate the conditional quantiles of daily … volatility in samples of equity index and foreign exchange data. These techniques in principle allow us to characterize the … entire conditional distribution of volatility, conditioning on past realized volatility and past squared returns. We take …

volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …

distribution of volatility estimators involving data sampled at different frequencies. We focus on traditional historical … volatility filters involving monthly, daily and intra-daily observations. Second, we introduce a continuous record asymptotics … approach for estimating the so called integrated volatility, which represents the cumulative integral of instantaneous …

transaction durations and vice versa. Otherwise the spacings between trades are considered exogenous to the volatility dynamics … causality between volatility and intra-trade durations. Under general conditions we propose several GMM estimation procedures … that volatility of IBM stock prices Granger causes intra-trade durations. We also find that the persistence in GARCH drops …

We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on …

-driven volatility estimators using high-frequency data and suggest multivariate applications. In addition to testing for the presence of … associated with the Asian and Russian financial crises. We find changes in the dynamics and long memory of volatility in the …