commodity index series, this study assesses the impact significant and unexpected news announcements had on volatility between … return and volatility estimates …

Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility … process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of … order 0.1, at any reasonable time scale. This leads us to model the log-volatility as a fractional Brownian motion with H<1 …

We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of … our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge …

than 30% of SP500 securities can have percentage change in volatility of more than 10% as a result of noise filtering …, variances (diagonal elements of the covariance matrix - squares of volatility) contain noise as well. Our noise …

. In multi-frequency finance, various phenomena have been observed, such as shocks, crashes, volatility clustering …

econometric modelling (specification, estimation and evaluation). Based on the maximum likelihood theory, we device procedures for …