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 …

semimartingales. Based on this new sampling scheme we propose a class of volatility estimators named renewal based volatility … based volatility estimators are consistent and jump-robust estimators of the integrated variance of a general semimartingale …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the …

In this paper an in-depth analysis of the estimation of the realized volatility Wishart Autoregressive model is … the estimated degrees of freedom result sensitively lower when extremely high values in the volatility process are present …

This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices … is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the … realized variance may improve volatility forecasting if the noise variance is related to the true return volatility. The …

We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box …

's dynamic properties may lead to misestimation of the intraday spot volatility. …

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …