alone. The second approach uses the data on stock prices as well as a certain volatility instrument, such as the CBOE … volatility index (VIX) or the Black-Scholes implied volatility. The theoretical justification for the instrument-based estimator …-only estimator is more robust since it is valid under weaker assumptions. However, in the presence of a valid volatility instrument …

on high-frequency stock trading volumes and realized volatility forecasts demonstrate the usefulness of the proposed …

experiment in terms of the square root of the volatility function .... As an application, simple rateoptimal estimators of the … volatility and efficient estimators of the integrated volatility are constructed. -- High-frequency data ; integrated volatility …; spot volatility estimation ; Le Cam deficiency ; equivalence of experiments ; Gaussian shift …

This paper presents a variety of tests of volatility spillover that are robust to heavy tails generated by large errors …

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …