We study the asymptotic normality of two estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility.We show that the bias-corrected estimator reaches the optimal rate 1/4, while the estimator without...

Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these...

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A...

We introduce a discrete-time model for log-return dynamics with observable volatility and jumps. Our proposal extends the class of Realized Volatility heterogeneous auto-regressive gamma (HARG) processes adding a jump component with time-varying intensity. The model is able to reproduce the...

Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility framework and prove that a parsimonious, two-scale version...

In the current literature, the analytical tractability of discrete time option pricing models is guaranteed only for rather specific types of models and pricing kernels. We propose a very general and fully analytical option pricing framework, encompassing a wide class of discrete time models...