Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance … targeting, which reduces the degree of parameterization and facilitates estimation. We compare the two approaches and … investigate, via simulations, how non-normality features of the return distribution affect the quality of estimation of 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 …

methodology, which does not require the pre-estimation of the spot volatility.We show that the bias-corrected estimator reaches …We study the asymptotic normality of two estimators of the integrated volatility of volatility based on the Fourier …-efficient estimator and show the accuracy of the Fourier estimator in comparison with a rate-optimal estimator based on the pre-estimation …

's dynamic properties may lead to misestimation of the intraday spot volatility. …

This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility …

In this paper, we derive the statistical properties of a general family of Stochastic Volatility (SV) models with … leverage effect which capture the dynamic evolution of asymmetric volatility in financial returns. We provide analytical … simulations we show that the ABC filter-based ML accurately estimates the parameters of a very general specification of the log-volatility …

Considering the inferior volatility tracking capability of the point-data-based models, we propose using the more … informative price interval data and building interval regression models for volatility forecasting. To characterize the … heterogeneity of the market and the nonlinearity of volatility, we incorporated the heterogeneous autoregressive structure and the …