with mean and variance specifications are estimated simultaneously by the method of approximate maximum likelihood. The …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a … variance of the spot prices is less pronounced. The novel findings in this paper can have important consequences for the …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

volatility shocks. The metric for the connections of the nodes is the correlation between these shocks. Daily dynamic centrality …

of 200 milliseconds is enough to lower performance significantly. On low volatility days this is already the case for …

-389.<p> This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and … nonparametric methods. The estimated spot variance path can be used to extend an existing high frequency jump test statistic, to …