to overall realized variation and their contribution to predictive regressions of realized volatility. We find evidence …

The topic of volatility measurement and estimation is central to financial and more generally time series econometrics …. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some … developments in volatility models, with focus on time varying and stochastic volatility as well as nonparametric volatility …

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns … volatility clustering in clock-time returns, even when trade- time returns are Gaussian. Finally, we highlight conditions on the … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the …

proxy for σ2t. We show that some commonly used criteria for evaluation of volatility models, may induce a different … provide an additional argument for using intra-day data to approximate σ2t , such as realized volatility. …