of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

We propose global and disaggregated spillover indices that allow us to assess variance and covariance spillovers …

experiment in terms of the square root of the volatility function .... As an application, simple rateoptimal estimators of the … volatility and efficient estimators of the integrated volatility are constructed. -- High-frequency data ; integrated volatility …; spot volatility estimation ; Le Cam deficiency ; equivalence of experiments ; Gaussian shift …

predict the sector-level S&P500 exchange-traded fund (ETF) volatility. It was found that the predictive content of co-jumps is … volatility forecasting. Additionally, we carried out Monte Carlo experiments designed to examine the relative performances of the …

-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but …

We propose a new score-driven model to capture the time-varying volatility and tail behavior of realized kernels. We … and forecasts of volatility risk quantiles. …