liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

the conditional volatility of long–short commodity portfolios and their conditional correlations with traditional assets …

Volatility is not directly observable and must be estimated. Estimator based on daily close data is imprecise. Range …-based volatility estimators provide significantly more precision, but still remain noisy volatility estimates, something that is …

We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log … formula is deduced from a perturbation expansion around a Black–Scholes formula with the mean volatility. The expansion has … expansion we show that for the Dow Jones Euro Stoxx 50 option data, a Δ-hedging strategy is close to being optimal. …

fluctuations has correlations that decay as a power-law, persisting for several months. (iii) Volatility and trading activity: We …

, over a time interval [t,t+Δt]. We relate the time-dependent standard deviation of price fluctuations – volatility – to two … Lévy scaling relationship between QΔt and NΔt, which would provide one explanation for volume-volatility co-movement. A …

volatility, mean value and standard deviation of both markets and compare their evolution. We conclude from the overall result of …

Realized stock return volatility is modelled with a distribution based on the Laplace distribution. The moment … properties of suggested volatility distribution, η(σ|λ), are derived. The properties of distribution correspond to the empirical … estimating λ from returns distribution f(x|λ) directly instead of volatility distribution based on bias sensitive standard …