We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …

in stock return volatility using traditional time and spectral domain estimators of long memory. The definitive ubiquity … and existence of long memory in the volatility of stock returns is an established stylized fact. The presence of long … long memory in the Indian stock returns and returns volatility. We find the presence of long memory in the volatility of …

We present a new model to decompose total daily return volatility into a filtered (high-frequency based) open …-to-close volatility and a time-varying scaling factor. We use score-driven dynamics based on fat-tailed distributions to limit the impact …-to-close volatility changes substantially through time, especially for financial stocks. …