We study nonparametric estimation of the volatility function of a diffusion process from discrete data, when the data … constraints of Besov type. Since the underlying signal (the volatility) is genuinely random, we propose a new criterion to assess … volatility …

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

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

of the volatility coefficient of a stochastic differential equation. We postulate a histogram-type prior on the … volatility with piecewise constant realisations on bins forming a partition of the time interval. The values on the bins are …

We propose a multiplicative component model for intraday volatility. The model consists of a seasonality factor, as … volatility, while the latter two account for the impact of the state of the limit order book, utilizing an additive structure … non-linearities in the relationship between the limit order book and subsequent return volatility and underlines the …

simultaneous presence of jumps and market microstructure noise and then proposes an improved estimator for integrated volatility of … microstructure noise and jumps, respectively. Asymptotic properties of the proposed integrated volatility estimator, such as …

of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …

We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data … together with a coupling-type argument to directly tailor the form of the nonparametric estimator to the specific volatility …