the Efficient Method of Moments implemented to estimatestochastic volatility models this will surely be the case … method of momentstechnique for a broad range of univariate stochastic volatility models. As a side effect of the … volatility models. It describes the program. Some examples are given from other workof the author. Technicalities are given in …

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. …

A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … diffusion processes are employed, but with the filtered/estimated volatility process replacing the latent process. Our …

Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market … found with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a …, stochastic volatility (SV-FIAR) model. Joint estimates of the autoregressive and fractional differencing parameters of volatility …

A two-step estimation method of stochastic volatility models is proposed: In the first step, we estimate the … (unobserved) instantaneous volatility process using the estimator of Kristensen (2010, Econometric Theory 26). In the second step …, standard estimation methods for fully observed diffusion processes are employed, but with the filtered volatility process …

This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value … components: Fourier transform method for volatility estimation, and importance sampling for extreme event probability estimation …

This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility …

Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market … with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a fully … volatility (SV-FIAR) model. Joint estimates of the autoregressive and fractional differencing parameters of volatility are found …

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