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. …

estimation for time-varying volatilities stems from an asymptotic equivalence of the underlying statistical model to a white … noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting … errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are … of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility …

conventional regression procedures, such as ordinary least squares estimation, when modeling non-normal errors with skewness and …

process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of … stochastic volatility matrices are diagonal, which is the case if the univariate time series are estimated separately instead of …

estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part …

Estimation of agent-based models is currently an intense area of research. Recent contributions have to a large extent … resorted to simulation-based methods mostly using some form of simulated method of moments estimation (SMM). There is, however … inference. Here we resort to Sequential Monte Carlo (SMC) estimation based on a particle filter. This approach is used here to …

The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô …, several generalizations of the model and an algorithm for the implementation warrant the utility of the estimation method in …

, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …