We study financial volatility during the Global Financial Crisis and use the largest volatility shocks to identify major events during the crisis. Our analysis makes extensive use of high-frequency financial data to model volatility and to determine the timing within the day when the largest...

We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...

Comparative is a concept that derives from the verb “to compare” (the etymology is Latin comparare, derivation of par = equal, with prefix com-, it is a systematic comparison). Comparative studies are investigations to analyze and evaluate, with quantitative and qualitative methods, a...

Nowadays, academic journals of high standing rarely accept a conceptual idea in a paper not instantly accompanied by econometric estimates. The idea would almost certainly get rejected. Empirical validation based on past statistical data has produced an unfortunate backward orientation in...

In this paper, we present a realised range-based multipower variation theory, which can be used to estimate return variation and draw jump-robust inference about the diffusive volatility component, when a high-frequency record of asset prices is available. The standard range-statistic --...

This work provides a comprehensive overview of the giant leap made by European central bank statistics over the last quarter century. We illustrate, first, the work that led to a brand-new set of central bank statistics for the implementation of the common monetary policy in the euro area and...

Aviation is a key sector of the economy, contributing at least 3% to gross domestic product (GDP) in the UK and the US. Currently, airline performance statistics are published with a three month delay. However, aircraft now broadcast their location in real-time using the Automated Dependent...

Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the noise accumulates with the sampling frequency. This has lead to widespread use of constructing the realized variance, a sum of squared intraday returns, from sparsely sampled...

We introduce a novel estimator of the quadratic variation that is based on the theory of Markov chains. The estimator is motivated by some general results concerning filtering contaminated semimartingales. Specifically, we show that filtering can in principle remove the effects of market...