We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov …

volatility, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …

We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be … used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are … Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency. …

empirical regularities in credit markets. Our model captures the empirical level and volatility of credit spreads, generates a …

analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH … framework for the joint modeling of returns and realized measures of volatility. An influential bias in these measures is … over time, which stresses the importance of careful modeling and forecasting of volatility. We show that improved model fit …

framework can be used to estimate the autocorrelation function of the latent volatility process and a key persistence parameter …. Our analysis is motivated by the recent literature on realized (volatility) measures, such as the realized variance, that … are imperfect estimates of actual volatility. In an empirical analysis using realized measures for the DJIA stocks we find …