processes including long memory fractional stochastic volatility model. The results reveal that our wavelet-based estimator is … to study the volatility of forex futures during the recent crisis at several investment horizons and obtain the results … which provide us with better understanding of the volatility dynamics. …

This paper is concerned with the problem of the estimation of the integrated volatility of log-prices based on high … estimators introduced in the literature to tackle volatility estimation in this setting. We then introduce novel integrated … volatility estimators based on a truncation technique and establish their properties. Finally, we carry out a simulation study to …

We study nonparametric estimation of the volatility function of a diffusion process from discrete data, when the data … constraints of Besov type. Since the underlying signal (the volatility) is genuinely random, we propose a new criterion to assess … volatility …

volatility and realized R-Squared. Because the residual process is latent in the high frequency regression, the estimation of … idiosyncratic volatility is notoriously difficult and complex, especially in the presence of jumps, microstructure noise and … features of the idiosyncratic volatility estimate and the realized R-Squared estimate …

The main contribution of the paper is proving that the Fourier spot volatility estimator introduced in [Malliavin and …. Moreover, we complete the asymptotic theory for the Fourier spot volatility estimator in the absence of noise, originally … implementation of the Fourier spot volatility estimator with noisy high-frequency data and provide support to its accuracy both …

experiment in terms of the square root of the volatility function .... As an application, simple rateoptimal estimators of the … volatility and efficient estimators of the integrated volatility are constructed. -- High-frequency data ; integrated volatility …; spot volatility estimation ; Le Cam deficiency ; equivalence of experiments ; Gaussian shift …

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …