Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

alleviating finite sample biases arising from the pronounced intraday volatility pattern which afflict alternative jump …

We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic …

The main econometric issue in testing the Lucas hypothesis (1973) in a times series context is the estimation of the …-varying-parameter (TVP) model is proposed for the monetary growth function. Based on Kalman filtering estimation of recursive forcast errors …

alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through … intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional …

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is …;unspanned stochastic volatility (USV).quot; Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …