We put forward two jump-robust estimators of integrated volatility, namely realized information variation (RIV) and …, comparing with alternative methods. The simulations support our theoretical results on volatility estimation and demonstrate …

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. …

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 …

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

general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns … provides a feasible basis for undertaking the nontrivial task of model comparison. Furthermore, we introduce new volatility … model, namely SV-GARCH which attempts to bridge the gap between GARCH and stochastic volatility specifications. In nesting …

The paper studies methods of dynamic estimation of volatility for financial time series. We suggest to estimate the … volatility as the implied volatility inferred from some artificial 'dynamically purified' price process that in theory allows to … order Taylor series extrapolation and quadratic interpolation. We examine the potential of the implied volatility derived …

This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility … (SVV): Volatility modulated non-Gaussian Ornstein-Uhlenbeck (VMOU) processes. Various probabilistic properties of …

We propose a novel stochastic volatility model with price and volatility co-jumps driven by Hawkes processes and … specifications and find that the hypothesis of the intensity being linear in the asset volatility provides the relatively best fit …