foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial … Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and …

-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but … estimation method is applied to DAX intraday prices, which balances between the bias and the variance of the realized moments … the fast-time-time scale sampling frequency is held fixed. The realized kernel density estimation enriches the literature …

Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM …, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to …

This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a …