We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be … used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are … Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency. …

The consistent ranking of multivariate volatility models by means of statistical loss function is a challenging … research field, because it concerns the quality of the proxy chosen to replace the unobserved volatility, the set of competing … realized covariance (RCOV), the proxy that generally provides a consistent estimate of the unobserved volatility. The aim of …

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … returns and volatility is detected as the long-term cross-correlated one. These findings can be further utilized to enhance …

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 …

Forecasts of asset return volatility are necessary for many financial applications, including portfolio allocation …. Traditionally, the parameters of econometric models used to generate volatility forecasts are estimated in a statistical setting and … paper investigates the economic benefit of direct utility based estimation of the parameters of a volatility model and …

The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is … the size of the distortion is strictly tied to the level of the accuracy of the volatility proxy. We propose a generalized …

industries. Previous literatures show that volatility of stock prices is informative; Granger causality is applied in this … volatility. The results indicate that causality of the volatility of the Utilities industry on the volatility of seven other …