The inhomogeneity of the cross-sectional distribution of realized assets’ volatility is explored and used to build a novel class of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models. The inhomogeneity of the cross-sectional distribution of realized volatility is captured...

Cryptocurrencies have increasingly attracted the attention of several players interested in crypto assets. Their rapid growth and dynamic nature require robust methods for modeling their volatility. The Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) model is a well-known...

In this paper we introduce a new way to estimate the spot volatility of high frequency foreign exchange data using the Hilbert-Huang Transform. We also propose and test a consistent spot volatility estimate in the presence of microstructure noise. The problem of assessing the validity of latent...