former case providing consistency and asymptotic normality in some cases where moments of the volatility estimation error may …-frequency) returns data to estimate the daily conditional volatility.Two potential bases for estimation are considered. One uses … integrated volatility of Andersen and Bollerslev (1998), and obtains coefficients from a model estimated by LAD or OLS, in the …

Stochastic volatility models, aka SVOL, are more difficult to estimate than standard time-varying volatility models … volatility forecasts especially around crucial periods of high volatility. We extend the basic SVOL needs to allow for the … model diagnostics, such as the identification of outliers for stochastic volatility models or the assessment of the …

In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility … by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion … compute the mean and variance of this noise and the correlation between the noise and the integrated volatility in the …

data to test for nonlinear leverage versus volatility feedback effects and to test for causality between stock returns and …

after filtering jumps through the bispectrum) and implied volatilities. Using only returns and realized volatility, we find … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …

Several recent papers have underlined the importance of the microstructure effects in understanding exchange rate … macroeconomic models and is consistent with the prediction of micro-structure models. We reexamine the evidence for stable long … statistically fragile. We conclude that this implication of microstructure models does not fit the data as well as previous studies …

that it generalizes standard stochastic volatility models by allowing for "jumps"" and other fat-tailed negative movements … two interesting continuous-time limits. One limit is the standard stochastic volatility model of Heston (1993). The other … in stock returns. The empirical results therefore also demonstrate the importance of jumps for the pricing of out …

Realized variance can be broken down into continuous volatility and jumps. We show that these two components have very … different predictive powers on future long-term excess stock market returns. While continuous volatility is a key driver of … medium to long-term risk-return relationships, jumps do not predict future medium- to long-term excess returns. We use …

null hypothesis are derived, and consistency is established against fixed alternatives of serial cross-correlation of …