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 …

We consider estimating volatility risk factors using large panels of filtered or realized volatilities. The data … structure involves three types of asymptotic expansions. There is the cross-section of volatility estimates at each point in … frequency h of the data used to compute the volatility estimates which rely on data collected at increasing frequency, h going …

) downside risk. We find that constructing a low-HHI minus high-HHI portfolio produces an annualized return of 5.6%. Using an … document the adverse impact that investor ownership concentration has on both conditional volatility, and critically, a robust … set of downside risk measures at both the portfolio and the firm level …

-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 …