and volatility spillovers between Nigeria Naira/US Dollar Bureau De Change (BDC) exchange rate and interbank call rate … is utilized to investigate shocks and volatility spillover of the rates. The estimated DCC-GARCH (1, 1) reveals that …, 1) model. Furthermore, the effects of news (shocks spillover) are bi-directional across the markets. However, volatility …

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

, comparing with alternative methods. The simulations support our theoretical results on volatility estimation and demonstrate …We put forward two jump-robust estimators of integrated volatility, namely realized information variation (RIV) and …. We also extend our results to integrated quarticity and higher-order variation estimation, and then propose a new jump …

increases in realized volatility and arrive when differences-in-opinion among market participants are large at times of FOMC … press releases. Unlike intensity jumps, volatility jumps fail to explain the variation in news-induced realized volatility …