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 …

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 …

unobserved stochastic volatility (SV) are considered. We develop a new approach based on a bias-corrected ECF for the Realized … a multifactor jump-diffusion SV model with exponential Poisson jumps in the volatility and underlying correlated by a …

and a rigorous Monte-Carlo study for the CIR model and Heston stochastic volatility model …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the …

of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …

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

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 …