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 …

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance …

In this article, the authors measure the impact of estimation error on latent factor model forecasts of portfolio risk … find that an estimation period of 250 days may be adequate to accurately forecast risk and factor exposures for an equally … an estimation period of 1000 days. This underscores the importance of testing risk models on optimized portfolios …

. We also extend our results to integrated quarticity and higher-order variation estimation, and then propose a new jump …, comparing with alternative methods. The simulations support our theoretical results on volatility estimation and demonstrate …

density estimation have significantly lower standard errors when compared to estimates derived via the usual method of …