of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …

Various parametric models have been developed to predict large volatility matrices, based on the approximate factor … model structure. They mainly focus on the dynamics of the factor volatility with some finite high-order moment assumptions …. However, the empirical studies have shown that the idiosyncratic volatility also has a dynamic structure and it comprises a …

This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial … data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility of … the proposed volatility process has a realized GARCH structure with an asymmetric effect on log-returns. To further …

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 …