Volatility modelling is a key issue for the finance industry from an academic and practitioner perspective. This is … understandable given the importance that volatility plays in risk management and the development of accurate risk measures in a … such as minimum capital requirements. These risk measures are underpinned by the input of volatility estimates. An …

volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order …: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

This dissertation consists of two essays dealing respectively with estimation of volatility and test for a jump using … high frequency data. Chapter 1 investigates the properties of pre-averaging estimators of integrated volatility, ?first …-optimal estimator of the integrated volatility. In addition, we derive a bootstrap statistic to assess the variance of our estimator …

jumps. Under a one factor Markovian setting, we derive a spanning relation between a long term option and a continuum of … performs ad hoc adjustments based on the observed implied volatility. We also compare the hedging effectiveness of the two … with our jump model simulations lends empirical support for the existence of jumps of random size in the movement of the S …