in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different …

correlation between the assets' returns. Our technique finds lowly correlated linear and non-linear conditional latent factors …

In this study we estimate and compare the realized range volatility, a novel efficient volatility estimator computed by … stocks. The usefulness of high-frequency data in measuring and forecasting financial volatility is apparent throughout the …

We propose a new methodology based on Fourier analysis to estimate the fourth power of the volatility function (spot … viewpoint. Extensions to higher powers of volatility and to the multivariate case are also discussed …

volatility as the implied volatility inferred from some artificial 'dynamically purified' price process that in theory allows to …The paper studies methods of dynamic estimation of volatility for financial time series. We suggest to estimate the … order Taylor series extrapolation and quadratic interpolation. We examine the potential of the implied volatility derived …

distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate …