Estimation of volatility measures using high frequency data (in Russian)

The availability of high frequency intra-day observations has created a new paradigm in volatility measurement. New methods in conjunction with high-frequency data allow nonparametric estimation of daily volatility and its forecast, variance-covariance matrices, instantaneous volatility and the jump contribution to the total variance. We survey some methods of volatility measurement including the recent literature on volatility estimation with ultra-high-frequency data in the presence of the market microstructure noise. We also discuss challenges specific to the estimation of the variance-covariance matrices with asynchronous observations.