-of-the-art realized volatility estimators which I then use in testing and modeling for volatility jumps in the General Index of the ASE … volatility which are then used in modeling realized volatility with the class of Heterogeneous Autoregressive (HAR) models. This … a variety of realized volatility estimators. …

This paper investigates the economic value of dierent non-parametric realized volatility estimates in Efficient … unrestricted realized volatility estimator, the realized optimally sampled volatility estimator and their bias-corrections against … covariance matrix is substantial. The type of realized volatility estimator used is also important. This is proven true according …

we first construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the … examined and modeled for the Greek market, using a variety of realized volatility estimators. …

issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures … and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in … contract in the European Climate Exchange (ECX), which is valid during Phase II (2008-2012) of the EU ETS. The realized …

A (conservative) test is constructed to investigate the optimal lag structure for forecasting realized volatility …

, the availability of realized volatility measures help us in learning about parameters and latent states. The method is …

. We then show that these jumps, in conjunction with realized volatility measures, are important in modeling the …