We consider estimation of the historical volatility of stock prices. It is assumed that the stock prices are … significant. We suggest some supplements to the existing non-parametric methods of volatility estimation. Two modifications of the … standard summation formula for the volatility are derived. In addition, a lineartransformation eliminating the appreciation …

This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed-span setting using … methods by examining the volatility of, and the coherence between, stocks and bonds during the large equity sell-off in …

of asset-return volatility, in the context of financial risk management using high frequency data. In our evaluation we … use both statistical criteria (i.e., accuracy of directional volatility predictions) and economic criteria (i … contemporaneous return-volatility relationship and leads to new insights related to linkages between economic and statistical methods …

parametric approach utilizing a Stochastic-Volatility-Jump-Diffusion (SVJD) model, estimated with MCMC and extended with Particle … method may be biased in the case when large outlier jumps occur in the time series as well as when the stochastic volatility …

volatility. We establish its first-order asymptotic validity …