A conditional extreme value volatility estimator based on high-frequency returns

Mathematics

• Volatility 94%
• Extreme Values 92%
• Realized Volatility 68%
• Estimator 49%
• Implied Volatility 41%
• GARCH Model 37%
• GARCH 36%
• Forecast 32%
• Forecasting 31%
• Time series 24%
• Financial Risk 20%
• High-frequency Data 20%
• Risk Management 18%
• Coefficient Inequalities 18%
• Information Content 18%
• Extreme Value Distribution 17%
• Heteroscedasticity 17%
• Discrete-time Model 16%
• Performance 16%
• Regulator 15%
• Discrete-time 11%
• Roots 10%
• Model 9%
• Imply 8%
• Context 8%
• Characterization 7%

Business & Economics

• Extreme Values 100%
• Volatility Index 98%
• Estimator 66%
• Realized Volatility 58%
• Volatility Models 38%
• Implied Volatility 37%
• GARCH Model 34%
• GARCH 33%
• Discrete-time 33%
• Intraday Data 21%
• Financial Risk Management 21%
• Heteroscedasticity 20%
• Relative Performance 17%
• Information Content 17%
• Characterization 13%
• Coefficients 12%
• Performance 6%

Engineering & Materials Science

• Time series 35%
• Risk management 22%