probability measure from "medium" size jumps in high-frequency intraday prices and an extreme value theory approximation for the …

with in-fill asymptotic arguments for uniquely identifying the "large" jumps from the data. The estimation allows for very … variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …

consider the no arbitrage constraints. We introduce a two-step estimation procedure for the FVECM parameters and we show the …

more aggressively when inflation is high than when it is low. Similarly, it might be expected that the Federal Reserve …

estimation of the integrated volatility in the presence of microstructure noise and are closely related to the original concept …

of financial economics is naturally linked with the theory of volatility modeling and forecasting, and in particular with … complicates estimation and inference. Further, the presence of an additional state variable|volatility|renders the model less … tractable from an analytic perspective. New estimation methods, combined with model restrictions that allow for closed …