volatility clustering, as is typically the case for financial time series such as exchange rate returns. Our claim builds on … methods will yield power gains in the presence of fat tails and persistent volatility clustering, and the strength of these …

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …

volatility and realized R-Squared. Because the residual process is latent in the high frequency regression, the estimation of … idiosyncratic volatility is notoriously difficult and complex, especially in the presence of jumps, microstructure noise and … features of the idiosyncratic volatility estimate and the realized R-Squared estimate …