volatility estimation in terms of volatility jumps being examined and modeled for the international equity market, using such a … properties of jumps. These volatility-estimation and jump properties are also evident in jump modeling based on statistical and …Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six …

-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but … estimation method is applied to DAX intraday prices, which balances between the bias and the variance of the realized moments … the fast-time-time scale sampling frequency is held fixed. The realized kernel density estimation enriches the literature …

stylized fact usually being referred to as leverage effect.We propose a local volatility model, given by a stochastic … a continuous time version of the Self-Exciting Threshold Autoregressive (SETAR) model. We propose an estimation … procedure for the volatility and drift coefficients as well as for the threshold level. Tests are performed on the daily prices …

Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we …-type models and (2) we price equity volatility risk using factors which go beyond the equity class. These are volatility factors …

market was shown to react to news unequally. Volatility spikes sharply when unexpected adverse news reaches the market while …

leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that … volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate …We propose a methodology to include night volatility estimates in the day volatility modeling problem with high …