In this paper an in-depth analysis of the estimation of the realized volatility Wishart Autoregressive model is … the estimated degrees of freedom result sensitively lower when extremely high values in the volatility process are present …

This paper analyses the constant elasticity of volatility (CEV) model suggested by [6]. The CEV model without mean …

by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over …

volatility density estimator in discrete-time stochastic volatility models. …

volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev … and Meddahi (2004, 2005), who address the issue of pointwise prediction of volatility via ARMA models, based on the use of … realized volatility. Our approach is to use a realized volatility measure to construct a non parametric (kernel) estimator of …

volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev … and Meddahi (2004, 2005), who address the issue of pointwise prediction of volatility via ARMA models, based on the use of … realized volatility. Our approach is to use a realized volatility measure to construct a non parametric (kernel) estimator of …

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