volatility model. Leveraging high-frequency data, we explore, in a data-science type exercise, various spot-volatility estimation …

This paper investigates how the introduction of foreign exchange futures has an impact on spot volatility and considers … the contemporaneous and dynamic relationship between spot volatility and foreign exchange futures trading activity … decreases spot volatility. It also increases the rate at which new information is impounded into spot prices but decreases the …

We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale … in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility …