presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and … detect arrival times of jumps and to obtain distributional characteristics of detected jumps. The effectiveness of our … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday …