Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the …

A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of … increases. The proposed estimation method, coupled with dynamic model averaging and selection, is adopted to forecast S&P 500 … realized volatility series with a time-varying parameters HAR model with exogenous variables. …

employing standard estimation methods based on the autocorrelation function or the periodogram. In this paper, we propose a … from the fractionally integrated component. The estimation is carried out on the basis of a state-space methodology and it …

We propose a new semiparametric observation-driven volatility model where the form of the error density directly … influences the volatility dynamics. This feature distinguishes our model from standard semiparametric GARCH models. The link … between the estimated error density and the volatility dynamics follows from the application of the generalized autoregressive …

the weighting of lagged squared innovations for the estimation of future correlations and volatilities. When we account …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …