This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and … the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper …, we extend the stochastic volatility (SV) model for application with such intraday high-frequency data and develop an …

estimation methods commonly used to estimate the SCD model in the literature, we work with the original specification of the … that our proposed model and corresponding estimation methodology perform quite well. We also apply an auxiliary particle …

self-excited. A novel Markov-Chain Monte Carlo method (MCMC) is developed for parameter estimation of the model. For model … the proposed TSCD model and MCMC method work well in terms of parameter estimation and duration forecasting. Lastly, the …