by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …

inference problem of estimating an option pricing model which displays two stochastic volatility factors, allows for co …-jumps between price and volatility, and stochastic jump intensity. Furthermore, we consider real data and estimate the model on a …

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 …

contribution of this paper is twofold. First, it provides a bivariate asymptotic limit theory for realised variance and realised … asymptotic variance of the estimation bias. Eventually, this leads to a feasible asymptotic theory which is applicable in … practice. Finally, Monte Carlo studies reveal a good finite sample performance of the proposed feasible limit theory …