Using nonparametric estimation method, this paper studies the dynamic evolution features of jumps in volatility of domes......

This paper introduces a unifued model,which can accommodate both a continuous-time It(o) process used to model high-freq......

We develop econometric tools to study integrated volatility with potentially time-dependent microstructure noise in high......

This paper mainly focuses on the realized volatility,which is a new volatility measuring method based on high-frequency ......

Given the unique institutional regulations in the Chinese commodity futures market as well as the characteristics of the......

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Since most multivariate volatility models can not satisfy the requirement of risk management of large portfolios,the est......

　　Volatility of financial assets prices is the important component in asset pricing and financial risk management,and ......