We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non-Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensity like trading volume or number of trades instead of unobservable instantaneous variance. We develop an explicit...

This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions. We use estimation technology that facilitates non-nested model comparisons and use a long data set...

In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the difference between the realized and the integrated...

In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the difference between the realized and the integrated...