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 …

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

We propose a multiplicative component model for intraday volatility. The model consists of a seasonality factor, as … volatility, while the latter two account for the impact of the state of the limit order book, utilizing an additive structure … non-linearities in the relationship between the limit order book and subsequent return volatility and underlines the …

volatility and realized R-Squared. Because the residual process is latent in the high frequency regression, the estimation of … idiosyncratic volatility is notoriously difficult and complex, especially in the presence of jumps, microstructure noise and … features of the idiosyncratic volatility estimate and the realized R-Squared estimate …

This paper proposes an ex post volatility estimator, called mixed interval realized variance (MIRV), that uses high … theoretical properties of the new volatility estimator are illustrated and compared with those of the two currently dominant … realized measures: realized volatility and realized range. A simulation study adds to this comparison and highlights some …

high-frequency data better and produce more accurate forecasts than competing realized volatility and option …

on high-frequency stock trading volumes and realized volatility forecasts demonstrate the usefulness of the proposed …

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. …