The development of estimation and forecasting procedures using empirically realistic continuous-time stochastic volatility models is severely hampered by the lack of closed-form expressions for the transition densities of the observed returns. In response to this, Andersen, Bollerslev, Diebold...

This note develops general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic distributional results in Barndorff-Nielsen and Shephard...

Asset returns exhibit clustering of volatility throughout the year. This paper proposes a class of models featuring periodicity in conditional heteroskedasticity. The periodic structures in GARCH models share many properties with periodic ARMA processes studied by Gladyshev (1961), Tiao and...