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

Volatility is a central tenet of financial markets, impacting a wide range of investors’ daily activities, including … considerable time and effort on finding new ways to accurately measure and estimate volatility. Incorporating intraday data in your … data to volatility forecasts …

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

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

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 …

investigate the impact of non-stationary microstructure noise on some volatility estimators, and design three complementary tests …

The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility … in volatility jumps. We also develop methods to estimate and evaluate, using price data alone, a general encompassing … model for volatility dynamics where volatility activity is unrestricted. The nonparametric application to VIX data, along …