Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many … limitations. HF data feature microstructure problem, such as the discreteness of the data, the properties of the trading mechanism …

assumptions of jumps in prices and leverage effects for volatility. Findings suggest that daily-data models are preferred to HF …Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

robust estimation of the cross-correlations by extending some popular robust estimators of pairwise correlations and …