macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC … immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The …

High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps. One of the … estimates time-varying volatility robustly to jumps. We improve the scope and efficiency of multipower variation by the use of a … nonparametric high frequency estimator of the volatility of volatility. A fundamental device in the paper is a new type of result …

Stochastic variance models where the logarithmic volatility is modelled by an ARMA process and models with conditional … heteroscedasticity for daily returns are studied. Volatility of monthly relative changes computed as a product of daily changes is …

a GARCH process for the underlying volatility is introduced. The estimator does not rely on any initial parametric …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns. In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

A kernel weighted version of the standard realised integrated volatility estimator is proposed. By different choices of … the kernel and bandwidth, the measure allows us to focus on specific characteristics of the volatility process. In … particular, as the bandwidth vanishes, an estimator of the realised spot volatility is obtained. We denote this the filtered spot …

local constancy of volatility and related quantities. We here show that this first order approximation is not always valid …. These are given. Several examples (powers of volatility, leverage effect, ANOVA) are provided. The first order … effect that connects to the volatility of volatility. Another conceptual gain is the relationship to Hermite polynomials. The …

With the availability of high frequency financial data, nonparametric estimation of volatility of an asset return … process becomes feasible. A major problem is how to estimate the volatility consistently and efficiently, when the observed …-Sahalia (2003), the best estimator converges to the true volatility only at the rate of n wedge{-1/6}. In this paper, we propose an …