volatility and realized R-Squared. Because the residual process is latent in the high frequency regression, the estimation of … idiosyncratic volatility is notoriously difficult and complex, especially in the presence of jumps, microstructure noise and … features of the idiosyncratic volatility estimate and the realized R-Squared estimate …

High-frequency financial data allow us to estimate large volatility matrices with relatively short time horizon. Many … novel statistical methods have been introduced to address large volatility matrix estimation problems from a high … Huber loss function with a diverging threshold to develop a robust realized volatility estimation. We show that it has the …

Several novel statistical methods have been developed to estimate large integrated volatility matrices based on high …-tailed distributions, we develop an adaptive robust integrated volatility estimator that employs pre-averaging and truncation schemes based … on jump-diffusion processes. We call this an adaptive robust pre-averaging realized volatility (ARP) estimator. We show …

This paper proposes an ex post volatility estimator, called mixed interval realized variance (MIRV), that uses high … theoretical properties of the new volatility estimator are illustrated and compared with those of the two currently dominant … realized measures: realized volatility and realized range. A simulation study adds to this comparison and highlights some …

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

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 …

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