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. …

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

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

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 of volatility} (VoV) based on noisy high-frequency data with jumps. This is the first inference theory ever built for …

-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but …

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 …