Following recent advances in the non-parametric realized volatility approach, we separately measure the discontinuous … volatility models. We analyze the distributional properties of the jump measures vis-à-vis the corresponding realized volatility … accuracy of high-frequency volatility models …

A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

FTSE MIB index and its volatility, is examined using a trivariate Vector Autoregressive model, taking into account the …

The present paper analyzes the forecastability and tradability of volatility on the large S&P500 index and the liquid … volatility, most publications only evaluate the forecast in terms of statistical errors. In practice, this kind of analysis is … our approach, we also include a test of our forecast through trading an appropriate volatility derivative. As a method we …

, provided they capture an asymmetric volatility response and a heavy-tailed returns distribution. Moreover, on ranking each …

We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations …