When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

's dynamic properties may lead to misestimation of the intraday spot volatility. …

This chapter reviews the rapid advances in foreign exchange volatility modeling made in the last three decades …. Academic researchers have sought to fit the three major characteristics of foreign exchange volatility: intraday periodicity … improve volatility and jumps estimates. Researchers also found it useful to incorporate information about periodic volatility …

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … standardized with its volatility. The statistical properties of the forecast errors point the standardized version as a more …

This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns …-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated … returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility …

This paper offers an empirical explanation behind the dynamics of the overall volatility of exchange rates and its high …-frequency, most economically destabilizing components. Spectral methodology is employed to isolate the portion of volatility … attributable to high-frequency components, and panel regressions are used to relate the volatility measures to various …

This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a … forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the … influence of different timescales on volatility forecasts. The decomposition of volatility into several timescales approximates …

; realised exchange-rate volatility ; risk management ; fat tailed distributions ; kernel density estimation …

This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns …-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated … returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility …