We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be … used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are … Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency. …

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 …

error.  Under stochastic volatility the resulting QML estimator is positive semi-definite, uses all available data, is …

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990 … different implications for the impact of jumps on exchange rate volatility transmission. Specifically, isolated and successive … jumps have opposite predictions for future volatility. Although the realized volatility literature finds that heat wave …

question whether the assumption of stationarity is appropriate to model volatility processes. Early econometric studies have … volatility time series. The approaches that are summarized in this discussion paper propose various specification for this time …

-variance analysis of alternative investments has been hampered by the lack of a systematic treatment of volatility in these markets … underlying volatility. For example, in art markets, auction houses often give price guarantees to the seller that resemble put … the price index, allowing to treat the volatility parameter as the object of interest. The model can be estimated using …

stochastic volatility the resulting QML estimator is positive semi-definite, uses all available data, is consistent and …

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 …

We investigate properties of the volatility estimator, which is proportional to the square of oscillations of the … simulations that the proposed volatility estimator by the bridge is much more efficient than the well-known Parkinson and Garman …–Class estimators. We also discuss possible usages of the estimators for estimation of integrated volatility. …