This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market … returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily … realized volatility from the returns in the first step and use stochastic cusp catastrophe on data normalized by the estimated …

This paper develops a two-step estimation methodology that allows us to apply catastrophe theory to stock market … returns with time-varying volatility and to model stock market crashes. In the first step, we utilize high-frequency data to … estimate daily realized volatility from returns. Then, we use stochastic cusp catastrophe on data normalized by the estimated …

This paper examines continuous-time models for the price and volatility processes of individual stocks and the S … diffusive volatility innovations we find that the first principal component is highly correlated with index variance innovations …

We propose a mixed frequency stochastic volatility (MFSV) model for the dynamics of intraday asset return volatility …. In order to account for long-memory we separate stochastic daily and intraday volatility patterns by introducing a long …-run component that changes at daily frequency and a short-run component that captures the remaining intraday volatility dynamics. An …