high-frequency data better and produce more accurate forecasts than competing realized volatility and option …

We consider the problem of estimating volatility based on high-frequency data when the observed price process is a … volatility signature plots that vary considerably over time and between assets …

semimartingales. Based on this new sampling scheme we propose a class of volatility estimators named renewal based volatility … based volatility estimators are consistent and jump-robust estimators of the integrated variance of a general semimartingale …

In this work we focus on the application of wavelet-based methods in volatility modeling. We introduce a new, wavelet …-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH-family model capturing long-memory and asymmetry in volatility …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the …

We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The …

In this paper an in-depth analysis of the estimation of the realized volatility Wishart Autoregressive model is … the estimated degrees of freedom result sensitively lower when extremely high values in the volatility process are present …

Using volatility estimation as the underlying commonality, this thesis traverses the statistical problem of robust … robust scale estimators to benchmark a non-parametric volatility estimation procedure, which not only uses techniques which … are particularly suited to observed financial returns, but also addresses the problem of bias in any robust volatility …

Volatility is a central tenet of financial markets, impacting a wide range of investors’ daily activities, including … considerable time and effort on finding new ways to accurately measure and estimate volatility. Incorporating intraday data in your … data to volatility forecasts …