When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

useful in the pricing of derivative securities where the implied stock price volatility cannot be observed. …The valuation of options and many other derivative instruments requires an estimation of exante or forward looking … volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian …

and portfolios. We document that the SDF is dense in characteristics with the impliedrealized volatility spread, option …