high-frequency data better and produce more accurate forecasts than competing realized volatility and option …

on high-frequency stock trading volumes and realized volatility forecasts demonstrate the usefulness of the proposed …

of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …

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

We propose a new methodology based on Fourier analysis to estimate the fourth power of the volatility function (spot … viewpoint. Extensions to higher powers of volatility and to the multivariate case are also discussed …

return and its volatility. Although this characteristic of stock returns is well acknowledged, most studies about it are … stochastic volatility context and for high frequency data. The consistency and limit distribution of the estimators are derived …, e.g. volatility of volatility …

measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous …

the financial crisis, suggesting that an extreme volatility period requires models that can adapt quickly to turmoil …