duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi … high-frequency data better and produce more accurate forecasts than competing realized volatility and option …

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

for volatility, correlation and covariance using high frequency financial data. It also implements complementary … paper first presents the issues associated with exploiting high frequency financial data. We then describe the volatility …

compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The …-martingale hypothesis of the stock log-price process and estimate the daily realized volatility. Our method improves the normality … approximation of the standardized business-time return distribution. Our Monte Carlo results show that the integrated volatility …

Purpose: This paper examines the volatility of stock return in Dhaka stock exchange, BangladeshMethodology: Using … normality and the return series are volatility clustering. It is also obvious for study that GARCH family can be used to predict … volatility of stock return in Dhaka stock exchange (DSE) …

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

provided between frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts …

contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find … individual stocks. -- Itô semi-martingale ; realized volatility ; jumps ; quadratic volatility ; multipower variation ; tripower …