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

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. …

A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … diffusion processes are employed, but with the filtered/estimated volatility process replacing the latent process. Our …

A two-step estimation method of stochastic volatility models is proposed: In the first step, we estimate the … (unobserved) instantaneous volatility process using the estimator of Kristensen (2010, Econometric Theory 26). In the second step …, standard estimation methods for fully observed diffusion processes are employed, but with the filtered volatility process …

We introduce a class of nonparametric spot volatility estimators based on delta sequences and conceived to include many …

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 …

Availability of high frequency data has improved the capability of computing volatility in an efficient way …. Nevertheless, measuring volatility/covariance from the observation of the asset price is challenging for two main reasons: observed … multivariate volatility, with particular focus on using high frequency data. Exploiting the fact that the method allows to compute …

This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility …