using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock … independent shocks on volatility through time, while avoiding typical orthogonalization and ordering problems. Volatility impulse … response functions (VIRF) provide information about the impact of independent shocks on volatility. HHś VIRF extends a …

contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find … individual stocks. -- Itô semi-martingale ; realized volatility ; jumps ; quadratic volatility ; multipower variation ; tripower …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous … ; volatility …

. -- High frequency data ; long memory ; volatility persistence ; structural breaks …

. -- high frequency data ; long memory ; volatility persistence ; structural breaks …