We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of returns. The measurement equation facilitates a simple modeling of the...

We introduce extensions of the Realized Exponential GARCH model (REGARCH) that capture the evident high persistence typically observed in measures of financial market volatility in a tractable fashion. The extensions decompose conditional variance into a short-term and a long-term component. The...

In this paper, we propose a nonparametric way to test the hypothesis that time-variation in intraday volatility is caused solely by a deterministic and recurrent diurnal pattern. We assume that noisy high-frequency data from a discretely sampled jump-diffusion process are available. The test is...

This study employs big data and text data mining techniques to forecast financial market volatility. We incorporate financial information from online news sources into time series volatility models. We categorize a topic for each news article using time stamps and analyze the chronological...

We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply it to...

We study financial volatility during the Global Financial Crisis and use the largest volatility shocks to identify major events during the crisis. Our analysis makes extensive use of high-frequency financial data to model volatility and to determine the timing within the day when the largest...

We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...

We explore intraday transaction records from NASDAQ OMX Commodities Europe from January 2006 to October 2013. We analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH framework for the joint modeling of returns and realized...

The estimation of the volatility with high-frequency data is plagued by the presence of microstructure noise, which leads to biased measures. Alternative estimators have been developed and tested either on specific structures of the noise or by the speed of convergence to their asymptotic...

An economic time series can often be viewed as a noisy proxy for an underlying economic variable. Measurement errors will influence the dynamic properties of the observed process and may conceal the persistence of the underlying time series. In this paper we develop instrumental variable (IV)...