models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …

This paper develops a statistical theory to estimate an unknown factor structure based on financial high-frequency data …

Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

This paper presents time-series of higher-order volatilities for the S&P 500 and EURUSD. We use a 3-volatility model …-Scholes implied volatility smile; accordingly we term them "base", "skew" and "smile" volatility. We define instantaneous skewness and …-delta.For the S&P 500 in 2008, skew and smile volatility are highly correlated with base volatility. Instantaneous skewness and …

We examine local-stochastic volatility models and derive a simple condition such models need to obey so that the carry …-even levels of the local volatility model - itself in the admissible class …