and thereby risk management measures. We show that in the context of GARCH diffusion models ignoring structural breaks in … the leverage coefficient and the constant can lead to biased and inefficient AR-RV and GARCH-type volatility estimates …. Similarly, we find that volatility forecasts based on AR-RV and GARCH-type models that take into account structural breaks by …

at different frequencies. Volatility and related processes are our prime focus, though the regression method has wider … volatility and a not-so-recent literature on distributed lag models. We study various lag structures to parameterize … paper concludes with an empirical section where we provide further evidence and new results on the risk-return trade-off. We …

-driven volatility estimators using high-frequency data and suggest multivariate applications. In addition to testing for the presence of … associated with the Asian and Russian financial crises. We find changes in the dynamics and long memory of volatility in the …

processes as well as data-driven volatility estimators using high-frequency data. It is shown that some of the high …-frequency volatility estimators substantially improve the power of the structural breaks tests especially for detecting changes in the tail …

risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance …

disruptions in financial risk. Data-driven monitoring schemes are investigated. Since the processes are strongly dependent several …

Asset returns exhibit clustering of volatility throughout the year. This paper proposes a class of models featuring … periodicity in conditional heteroskedasticity. The periodic structures in GARCH models share many properties with periodic ARMA … processes studied by Gladyshev (1961), Tiao and Grupe (1980) and others. We describe the relation between periodic GARCH …

) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility … crisis, accompanied by increased price volatility, but that trading activity seems unaffected until after the Lehman Brothers … bankruptcy. Our models' key finding is that price volatility and depth at the best bid and ask prices exhibit a negative feedback …

approach combines insights from the temporal aggregation for GARCH models discussed byDrost and Nijman (1993) and Drost and … between consecutive financial transactions.The class of models introduced here will be called ACD-GARCH. It can be described … as a random coefficientGARCH, or doubly stochastic GARCH, where the durations between transactions determine the …