results are then compared to related models, such as stochastic volatility models or Log-ACD models. -- EGARCH ; exponential … volatility model ; Log ACD model ; norming constants …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

time diffusion models ; models with jumps ; stochastic volatility ; GARCH …