The paper studies the impact of the sampling frequency on the volatility of financial time series. We suggest to model the dependence of volatility on sampling frequency via delay equations for the underlying prices. It appears that these equations allow to model the price processes with...

The paper studies methods of dynamic estimation of volatility for financial time series. We suggest to estimate the volatility as the implied volatility inferred from some artificial 'dynamically purified' price process that in theory allows to eliminate the impact of the stock price movements....