volatility dynamics modeled as a HAR is augmented by a term involving quarticity in order to correct measurement errors in … accounts for a faster mean reversion when volatility is high. We argue that heteroskedasticity (volatility of volatility) and a …

the financial crisis, suggesting that an extreme volatility period requires models that can adapt quickly to turmoil …

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric … models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through …

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 …

We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box …

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 …

's dynamic properties may lead to misestimation of the intraday spot volatility. …

's dynamic properties may lead to misestimation of the intraday spot volatility …