This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends … standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability … in the data. We discuss how stochastic volatility of volatility can be defined both non–parametrically, where we link it …

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six … international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various … effects of jumps on volatility. Our results expand and complement the previous literature on the nonparametric realized …

-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term …. We implement the methodology for the Heston and the mean-reverting CEV stochastic volatility models. A calibration …

Range-based volatility estimators are analyzed in both daily and intraday sampling frequency and are also compared to … the realized volatility estimator. The family of realized range-based estimators is extended as three range …-based estimators are also compared in terms of the proper-ties of the jump components of volatility. Moreover, the relevanteffects of …

return and its volatility. Although this characteristic of stock returns is well acknowledged, most studies about it are … stochastic volatility context and for high frequency data. The consistency and limit distribution of the estimators are derived …, e.g. volatility of volatility …

We study the estimation of the high-dimensional covariance matrix and its eigenvalues under dynamic volatility models …