In the present work we propose a new realized volatility model to directly model and forecast the time series behavior of volatility. The purpose is to obtain a

The paper proposes an additive cascade model of volatility components defined over different time periods. This volatility cascade leads to a simple AR-type mod

Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors suc

The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical poin