The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of...

The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of...

We analyze several measures of volatility (realized variance, bipower variation and squared daily returns) as estimators of integrated variance of a continuous time stochastic process for an asset price. We use a Multiplicative Error Model to describe the evolution of each measure as the product...