We focus on estimating daily integrated volatility ( IV ) by realized measures based on intraday returns following a discrete-time stochastic model with a pronounced intraday periodicity (IP). We demonstrate that neglecting the IP-impact on realized estimators may lead to invalid statistical...

The classical realized variance (RV) estimator is biased due to microstructure effects and asset price jumps. Robust realized variance (RRV) estimators adjust for these biases, and make more efficient of use of the intraday data. This article examines the benefits of using RRV estimators instead...

We propose a new test for the parametric form of the volatility function in continuous time diffusion models of the type dXt = a(t;Xt)dt + _(t;Xt)dWt. Our approach involves a range-based estimation of the integrated volatility and the integrated quarticity, which are used to construct the test...

The classical realized variance (RV) estimator is biased due to microstructure effects and asset price jumps. Robust realized variance (RRV) estimators adjust for these biases, and make more efficient of use of the intraday data. This article examines the benefits of using RRV estimators instead...

We propose a new test for the parametric form of the volatility function in continuous time diffusion models of the type dXt = a(t,Xt)dt + s(t,Xt)dWt. Our approach involves a range-based estimation of the integrated volatility and the integrated quarticity, which are used to construct the test...

This paper proposes using realized range-based estimators to draw inference about the quadratic variation of jump-diffusion processes. We also construct a range-based test of the hypothesis that an asset price has a continuous sample path. Simulated data shows that our approach is efficient, the...

This paper proposes using realized range-based estimators to draw inference about the quadratic variation of jump-diffusion processes. We also construct a range-based test of the hypothesis that an asset price has a continuous sample path. Simulated data shows that our approach is efficient, the...

Decreases in stock market returns often lead to higher increases in volatility than increases in returns of the same magnitude, and it is common to incorporate these so-called leverage effects in GARCH and stochastic volatility models. Recent research has also found it useful to account for...

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...