-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 …

This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a … the volatility is not observable, the logarithm of the daily high-low range is employed as its proxy. The estimation of … parameters and volatility extraction are performed using a modified version of the Kalman filter which takes into account the …

capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …

We study the modelling of large data sets of high frequency returns using a long memory stochastic volatility (LMSV …, a new method of de-seasonalising the volatility in high frequency data is proposed, that allows for slowly varying … realised volatility to that of a linear long memory model fit to the log realised volatility. The performance of the new …

-martingale. To accomplish this, we exploit the properties of the price range as a volatility proxy and suggest a new method for non …. Moreover, with slightly stronger conditions, in particular a zero drift-term, we find an asymptotic distribution theory. To …

This paper presents variance extraction procedures for univariate time series. The volatility of a times series is … monitored allowing for non-linearities, jumps and outliers in the level. The volatility is measured using the height of …

experiment in terms of the square root of the volatility function .... As an application, simple rateoptimal estimators of the … volatility and efficient estimators of the integrated volatility are constructed. …

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

to overall realized variation and their contribution to predictive regressions of realized volatility. We find evidence …