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 …

The paper considers the problem as to whether financial returns have a common volatility process in the framework of … stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH … test proposed by Engle and Susmel (1993), who investigated whether international equity markets have a common volatility …

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 …

the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …

vary according to whether they are in low or high volatility regimes. …

. They are applicable to the complete class of observation driven models and are valid for a wide range of estimation … that is embedded in the time-varying parameter path. We illustrate our findings in a volatility analysis for monthly …