semimartingales. Based on this new sampling scheme we propose a class of volatility estimators named renewal based volatility … based volatility estimators are consistent and jump-robust estimators of the integrated variance of a general semimartingale …

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 are comparing two approaches for stochastic volatility and jumps estimation in the EUR/USD time series - the non …) using daily returns. We find that both of the methods do identify continuous stochastic volatility similarly, but they do … the continuous volatility) on the daily frequency. As an additional result we find strong evidence for jump size …

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 consider the problem of estimating volatility based on high-frequency data when the observed price process is a … volatility signature plots that vary considerably over time and between assets …

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 …

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

This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed‐span setting using …

The main contribution of the paper is proving that the Fourier spot volatility estimator introduced in [Malliavin and …. Moreover, we complete the asymptotic theory for the Fourier spot volatility estimator in the absence of noise, originally … implementation of the Fourier spot volatility estimator with noisy high-frequency data and provide support to its accuracy both …

This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends … standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability … in the data. We discuss how stochastic volatility of volatility can be defined both non–parametrically, where we link it …