asset volatility, particularly in estimation of the intrinsic value of stock options. …Volatility is one of the most important characteristics of any financial instrument return. The idea which states that … volatility of financial assets and it corresponds well with the efficient market hypothesis. Therefore, all volatility models use …

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …

analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH … framework for the joint modeling of returns and realized measures of volatility. An influential bias in these measures is … over time, which stresses the importance of careful modeling and forecasting of volatility. We show that improved model fit …

volatility, correlation, beta, quadratic variation, jump variation, and other functionals of an underlying continuous …

The current work undertakes an overview of the forecasting volatility with high frequency data topic, attempting to … answer to the fundamental latency problem of return volatility. It surveys the most relevant aspects of the volatility topic …, suggesting advantages and disadvantages of each alternative in modeling. It reviews the concept of realized volatility and …

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … positive definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump … indicate that the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible …

, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …

increases of the variance risk-premium, and possess a statistically significant forecasting power for future volatility and …

, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …