This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation …, component VaR and incremental VaR readily follow. The proposed estimation approach pairs intuitive appeal with computational … efficiency. We evaluate various alternative estimation methods in an application example and conclude that the proposed approach …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …