A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is driven by …

estimate the parameters of continuous-time stochastic volatility models with auxiliary specifications based on realized … volatility measures. Monte Carlo simulations shows the bias reduction of the indirect estimates obtained when the microstructure …

The volatility of financial returns is characterized by rapid and large increments. We propose an extension of the … Heterogeneous Autoregressive model to incorporate jumps into the dynamics of the ex-post volatility measures. Using the realized …-range measures of 36 NYSE stocks, we show that there is a positive probability of jumps in volatility. A common factor in the …

The realized volatility of financial returns is characterized by persistence and occurrence of unpredictable large … crises. Compared to other realized volatility models, the introduction of the jump component provides a sensible improvement … in the fit, as well as for in-sample and out-of-sample volatility tail forecasts. …

volatilities as measured by daily range. Long memory features of the range-based volatility estimators of the two series are …