procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is …Volatility has been one of the most active and successful areas of research in time series econometrics and economic …

diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the … underlying asset price exhibits volatility and jump intensity dynamics. The volatility and jump intensity dynamics in the model … are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical …