conditional on current information, we propose a new approach to quantile estimation which does not require any of the extreme … variety of dynamic processes for updating the quantile and use regression quantile estimation to determine the parameters of …

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 …

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 … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …

-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …

post-1998 period has witnessed an increase in volatility of trading revenues …

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