When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of … discriminate different smoothness classes of the underlying stochastic volatility process. In a high-frequency framework we prove … extremely mild smoothness assumptions on the stochastic volatility we thereby derive a consistent test for volatility jumps. A …

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …

We propose using the price range, a recently-neglected volatility proxy with a long histoy in finance, in the … estimation of stochastic volatility models. We show both theoretically and empirically that the log range is approximately … Gaussian, in sharp contrast to popular volatility proxies, such as log absolute or squared returns. Hence Gaussian quasi …

nonstationary volatility. In the same article, Xu proposed a set of t-tests for the regression coefficients and claimed that these … only under the exact knowledge of the asymptotic order of the nonstationary volatility. In this paper it is first shown … obtained, that do not depend either on the asymptotic order of the nonstationary volatility, or on the degree of the polynomial …