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 …

in stock return volatility using traditional time and spectral domain estimators of long memory. The definitive ubiquity … and existence of long memory in the volatility of stock returns is an established stylized fact. The presence of long … long memory in the Indian stock returns and returns volatility. We find the presence of long memory in the volatility of …

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. …

-range dependencies are present only in the intraday volatility but not in the intraday returns. Finally, the robustness of these findings …

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …

variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …