-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized … variance into several investment horizons and jumps. Basing our estimator in the two-scale realized variance framework, we are … processes including long memory fractional stochastic volatility model. The results reveal that our wavelet-based estimator is …

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps …-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … returns and volatility is detected as the long-term cross-correlated one. These findings can be further utilized to enhance …

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … returns and volatility is detected as the long-term cross-correlated one. These findings can be further utilized to enhance …