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Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices

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The contribution of intraday jumps to forecasting the density of returns

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Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective

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Intra-day realized volatility for European and USA Stock indices

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The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

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Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics

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