of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of … hedging. It turns out that market volatility increases and becomes price-dependent. The strength of the effects depend not … discuss in what sense hedging strategies calculated under the assumption of constant volatility are still appropriate, even if …

and outside the Community. The analysis indicates the need to distinguish between short-term oscillations (i.e. volatility …

on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new … directions. First, the realized variance is a much better estimate of the latent volatility than the sum of the weighted daily … squared returns. As such it is better suited for comparing the out-of-sample performances of competing volatility models …