In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean …(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable … Stochastic Volatility (SV)model. However, efficient Monte Carlo simulationmethods for SV models have been developed to overcome …

improved volatility measurements but has also inspired research into their potential value as an information source for … volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return … series), of implied volatility (extracted from option pricing data) and of realised volatility (computed as the sum of …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …