Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market … found with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a …, stochastic volatility (SV-FIAR) model. Joint estimates of the autoregressive and fractional differencing parameters of volatility …

Several novel statistical methods have been developed to estimate large integrated volatility matrices based on high …-tailed distributions, we develop an adaptive robust integrated volatility estimator that employs pre-averaging and truncation schemes based … on jump-diffusion processes. We call this an adaptive robust pre-averaging realized volatility (ARP) estimator. We show …