realized covariance. In a volatility timing strategy for S&P500, bond and gold futures, we find that the co-range estimates are …

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 …

-form volatility modeling and forecasting as well as testing for the presence of jumps …

factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

volatility and realized R-Squared. Because the residual process is latent in the high frequency regression, the estimation of … idiosyncratic volatility is notoriously difficult and complex, especially in the presence of jumps, microstructure noise and … features of the idiosyncratic volatility estimate and the realized R-Squared estimate …