The aim of this paper is to measure and assess the accuracy of different volatility estimators based on high frequency data in an option pricing context. For this, we use a discrete-time stochastic volatility model based on Auto-Regressive-Gamma (ARG) dynamics for the volatility.First, ARG...

We define a new consistent estimator of the integrated volatility of volatility based only on a pre-estimation of the Fourier coefficients of the volatility process. We investigate the finite sample properties of the estimator in the presence of noise contamination by computing the bias of the...

Financial crises prediction is an essential topic in finance. Designing an efficient Early Warning System (EWS) can help prevent catastrophic losses resulting from financial crises. We propose an EWS for predicting potential market instability conditions under which perturbations in the price...

Equity returns and fi rm's default probability are strictly interrelated financial measures capturing the credit risk profi le of a fi rm. Following the idea proposed in [20] we use high-frequency equity prices in order to estimate the volatility risk component of a fi rm within Merton [17]...

We propose a new methodology based on Fourier analysis to estimate the fourth power of the volatility function (spot quarticity) and, as a byproduct, the integrated function. We prove the consistency of the proposed estimator of the integrated quarticity. Further, we analyse its efficiency in...

Availability of high frequency data has improved the capability of computing volatility in an efficient way. Nevertheless, measuring volatility/covariance from the observation of the asset price is challenging for two main reasons: observed asset prices are generally affected by noise...