the Efficient Method of Moments implemented to estimatestochastic volatility models this will surely be the case … method of momentstechnique for a broad range of univariate stochastic volatility models. As a side effect of the … volatility models. It describes the program. Some examples are given from other workof the author. Technicalities are given in …

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

We present a new model to decompose total daily return volatility into a filtered (high-frequency based) open …-to-close volatility and a time-varying scaling factor. We use score-driven dynamics based on fat-tailed distributions to limit the impact …-to-close volatility changes substantially through time, especially for financial stocks. …

This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to … resulting likelihood ratio test statistic. We find that under suitable conditions, adaptation with respect to the volatility … process is possible, in the sense that nonparametric volatility matrix estimation does not lead to a loss of asymptotic local …