macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC … immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The …

High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps.  One of the … estimates time-varying volatility robustly to jumps.  We improve the scope and efficiency of multipower variation by the use of … first nonparametric high frequency estimator of the volatility of volatility.  A fundamental device in the paper is a new …

High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps. One of the … estimates time-varying volatility robustly to jumps. We improve the scope and efficiency of multipower variation by the use of a … nonparametric high frequency estimator of the volatility of volatility. A fundamental device in the paper is a new type of result …

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies … computationally attractive and feasible for large dimensions. We demonstrate its strong predictive potential for financial volatility …

Stochastic variance models where the logarithmic volatility is modelled by an ARMA process and models with conditional … heteroscedasticity for daily returns are studied. Volatility of monthly relative changes computed as a product of daily changes is …

the total volatility function in a continuous-time jump diffusion model. …

volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model …