We introduce a class of nonparametric spot volatility estimators based on delta sequences and conceived to include many …

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 …

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short …-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on … robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …

This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value … components: Fourier transform method for volatility estimation, and importance sampling for extreme event probability estimation …

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short …-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on … robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …

return and its volatility. Although this characteristic of stock returns is well acknowledged, most studies about it are … stochastic volatility context and for high frequency data. The consistency and limit distribution of the estimators are derived …, e.g. volatility of volatility …

unstable volatility functions. Breaks in the structure of the conditional mean and/or the volatility functions are common in … where the volatility function has a break and it may even report negative values for finite samples. The estimator presented … and the boundary estimation, it estimates the breaks consistently and it ensures that the volatility estimates are always …

individual stocks. We provide an inference framework for all components of the model, including idiosyncratic volatility and …

We develop a volatility estimator that can be directly applied to tick-by-tick data. More specifically, we consider a …