When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of … discriminate different smoothness classes of the underlying stochastic volatility process. In a high-frequency framework we prove … extremely mild smoothness assumptions on the stochastic volatility we thereby derive a consistent test for volatility jumps. A …

nonstationary volatility. In the same article, Xu proposed a set of t-tests for the regression coefficients and claimed that these … only under the exact knowledge of the asymptotic order of the nonstationary volatility. In this paper it is first shown … obtained, that do not depend either on the asymptotic order of the nonstationary volatility, or on the degree of the polynomial …

-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 …