We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We … 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 …

stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …

Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we …-type models and (2) we price equity volatility risk using factors which go beyond the equity class. These are volatility factors …

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. …