In this paper an in-depth analysis of the estimation of the realized volatility Wishart Autoregressive model is … the estimated degrees of freedom result sensitively lower when extremely high values in the volatility process are present …

structure. This is motivated by the problem of finding a possible probabilistic model for the realized volatility. A Gamma … random error is proposed to cater for the non-negativity of the realized volatility. With many good properties, such as … on empirical realized volatility data of 30 stocks, where one third of the cases are fitted quite well, suggesting that …

Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former … diversification, and how an acknowledgment of volatility clustering can enhance the quality of risk models. The analysis is carried … risk historically received more attention, especially in financial regulation, our analysis shows that volatility clusters …

When applied to signals defined on fractal sets, the classical autocorrelation function has generally been exploited … use a generalized form of the autocorrelation function, a version of which we have previously introduced in the context of …