We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar …) introduced in Calvet and Fisher (2001, 2004). Bivariate MSM is a stochastic volatility model with a closed-form likelihood …. Estimation can proceed by ML for state spaces of moderate size, and by simulated likelihood via a particle filter in high …

unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. We … short time series of consumption data undermines the ability of tests that use the restrictions implied by the volatility …

Volatility has been one of the most active areas of research in empirical finance and time series econometrics during … categorizing the various volatility concepts, measurement procedures, and modeling procedures. We define three different volatility … concepts: (i) the notional volatility corresponding to the ex-post sample-path return variability over a fixed time interval …

Recently there has been a great deal of interest in modeling volatility fluctuations. ARCH models, for example, provide … parsimonious approximations to volatility dynamics. Here we provide a selective amount of certain aspects of conditional volatility … estimation and testing. Finally, we discuss a variety of applications and extensions of the basic models …

a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single …