We introduce a dynamic Skellam model that measures stochastic volatility from high-frequency tick-by-tick discrete … series per day varies from 1000 to 10,000. Complexities in the intraday dynamics of volatility and in the frequency of trades … intraday volatility shows that the dynamic modified Skellam model provides accurate forecasts compared to alternative modeling …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …

general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns … provides a feasible basis for undertaking the nontrivial task of model comparison. Furthermore, we introduce new volatility … model, namely SV-GARCH which attempts to bridge the gap between GARCH and stochastic volatility specifications. In nesting …

We propose a mixed frequency stochastic volatility (MFSV) model for the dynamics of intraday asset return volatility …. In order to account for long-memory we separate stochastic daily and intraday volatility patterns by introducing a long …-run component that changes at daily frequency and a short-run component that captures the remaining intraday volatility dynamics. An …

volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996 … the paper is to derive a simple test for causality in volatility that provides regularity conditions arising from the …

volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng … affect the power of the test. The purpose of the paper is to derive a simple test for causality in volatility that provides …