We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time … processes including long memory fractional stochastic volatility model. The results reveal that our wavelet-based estimator is … to study the volatility of forex futures during the recent crisis at several investment horizons and obtain the results …

subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component … of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two …