This paper compares several statistical models for daily stock return volatility in terms of sample fit and out … errors provide a better description for the conditional volatility. In addition, we outline some stylized facts about … volatility that are not captured by conventional ARCH or GARCH models, but are considered by the asymmetric models and document …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …

What are the advances introduced by realized volatility models in pricing options? In this short paper we analyze a … simple option pricing framework based on the dually asymmetric realized volatility model, which emphasizes extended leverage … effects and empirical regularity of high volatility risk during high volatility periods. We conduct a brief empirical analysis …

This paper is the first to employ a multivariate extension of the LHAR–CJ model for realized volatility of Corsi and … Renó (2012) considering continuous and jump volatility components and leverage effects. The model is applied to financial … considered assets do not contain incremental information for the one-step ahead realized volatility. The volatility of S&P 500 …

Realized volatility of financial time series generally shows a slow–moving average level from the early 2000s to recent … changes in volatility following an abrupt crisis and to accommodate different dynamic responses within each regime. The model … is applied to the realized volatility of the S&P500 index: next to an interesting interpretation of the regimes in terms …

A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …

A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to implement reduced form model for realized volatility results in highly significant jump coefficient estimates …

volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator … of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm …

volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator … of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm …