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

is presented in this paper and evaluated by means of a simulation and a real world example of volatility spillovers in …

, durations, realized volatility, daily range, and so on) which exhibit clustering and can be modeled as the product of a vector …, number of trades and realized volatility reveals empirical support for a dynamically interdependent pattern of relationships …

gains over the equation by equation approach using a four variable fully interdependent model with different volatility …

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 …

(individually) based on low or high volatility states, the corresponding correlation measure between futures and spot returns is …

Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too … variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH … terms only. The empirical application on U.S. dollar exchange rates shows that our model indeed yields better volatility …

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. …