volatility with correlated jumps (SVCJ) model in combination with several rolling windows, it is possible to capture the extreme …: during bullish periods, volatility stabilizes at low levels and the size and volatility of jumps in mean decreases. In … bearish periods though, volatility increases and takes longer to return to its long-run trend. Furthermore, jumps in mean and …

In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the … at smaller and smaller time intervals. High-frequency returns are used for the computation of realised volatility. Recent … theoretical results have shown that realised volatility is a consistent estimator of actual volatility but when it is subject to …

stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et …

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …

A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In … both the conditional and stochastic volatility literature, there has been some confusion between the definitions of … volatilities. Then we develop a new asymmetric volatility model, which takes account of small and large, and positive and negative …

volatility to capture the dynamics of the S&P 500 and three European equity indices. The stochastic volatility models are the … square root variance, GARCH, and log volatility diffusions, and each is augmented with price and volatility jump extensions … that GARCH diffusions augmented with correlated price and volatility jumps outperform other specifications with respect to …

We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that … of the implied volatility surfaces of a triangle of FX rates shows the flexibility of our framework in dealing with the …

ARFIMAX models are applied in estimating the intra-day realized volatility of the CAC40 and DAX30 indices. Volatility … clustering and asymmetry characterize the logarithmic realized volatility of both indices. ARFIMAX model with time … superior next trading day's realized volatility forecasts …

This study focus on applying the Heston's stochastic volatility model, to the Greek stock market, by estimating the … futures values of volatility …

, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact … measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic … processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized …