robust estimation of the cross-correlations by extending some popular robust estimators of pairwise correlations and …

allows for a more flexible weighting of financial squared-returns for the filtering of volatility. The parameter for the …-return replaced by the product of the volatility innovation and its lagged value. This local estimate of the first order … autocorrelation of volatility innovations acts as an indicator of the importance of the squared-return for volatility updating. When …

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation includes Close …Volatility had been used as an indirect means for predicting risk accompanied with the asset. Volatility explains the … variations in returns. Forecasting volatility had been a stimulating problem in the financial systems. The study examined the …

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation included Close …Volatility has been used as an indirect means for predicting risk accompanied with an asset. Volatility explains the … variations in returns. Forecasting volatility has been a stimulating problem in the financial systems. This study examined the …

We define a new consistent estimator of the integrated volatility of volatility based only on a pre-estimation of the … Fourier coefficients of the volatility process. We investigate the finite sample properties of the estimator in the presence … estimator with high frequency data is investigated and it is shown that the proposed estimator of volatility of volatility is …

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 …

This paper examines long memory volatility in international stock markets. We show that long memory volatility is … the cross-sectional dimension. We also find that developed countries possess longer memory in volatility than emerging and …