on high-frequency stock trading volumes and realized volatility forecasts demonstrate the usefulness of the proposed …

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …

We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box …

A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … diffusion processes are employed, but with the filtered/estimated volatility process replacing the latent process. Our …

A two-step estimation method of stochastic volatility models is proposed: In the first step, we estimate the … (unobserved) instantaneous volatility process using the estimator of Kristensen (2010, Econometric Theory 26). In the second step …, standard estimation methods for fully observed diffusion processes are employed, but with the filtered volatility process …

This paper studies the estimation of integrated volatility functionals, which is essentially a semiparametric two … demonstrate that our method has good finite sample performance for a variety of volatility functionals, including quadraticity …

experiment in terms of the square root of the volatility function .... As an application, simple rateoptimal estimators of the … volatility and efficient estimators of the integrated volatility are constructed. -- High-frequency data ; integrated volatility …; spot volatility estimation ; Le Cam deficiency ; equivalence of experiments ; Gaussian shift …