-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root … conditional heteroskedasticity). The paper explores the influence of time-varying volatility on fractionally integrated processes …. Concretely, we discuss how to model long memory in the presence of time-varying volatility, and analyze the effects of such …

standard information criteria, volatility persistence and the log likelihood statistic, showed that results improved with … of volatility breaks reduces the level of persistence in most of the models. The study recommends the incorporation of …This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to …

-form volatility modeling and forecasting as well as testing for the presence of jumps …

for volatility, correlation and covariance using high frequency financial data. It also implements complementary … paper first presents the issues associated with exploiting high frequency financial data. We then describe the volatility …

measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous …

We propose a more flexible range-based volatility model which can capture volatility process better than conventional … time series data. Range-based volatility CARR model with Markov-switching structure can assist us to describe the effect … for exogenous shock to market data. After the data fitting and VaR estimation, we conclude that the range-based volatility …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a …

, we show that we can estimate the parameters at rate $n$, and propose a volatility estimator which enjoys $\sqrt …

We test the performance of different volatility estimators that have recently been proposed in the literature and which … of jumps to compare the performance of the proposed volatility estimators. We conclude that the MLE-F, a two …-step parametric volatility estimator proposed by Cartea and Karyampas (2010), outperforms most of the well known high …