This thesis analyses what drives sovereign credit risk when contagion is con- trolled for. CDS spreads are used as a measure of credit risk and bond yields are used to estimate interconnectedness of the examined countries. The main contribution lies in the use of high-frequency data and a robust wavelet based estimator in addition to spatial econometric model. The aim of this thesis is to test for presence of contagion and to evaluate which fundamentals are decisive for market perception of sovereign credit risk. Another goal is to evaluate the possibility of a structural break caused by the Greek debt restructuring. The results show that the restructuring did bring change. Contagion is present during the post-crisis period and it diminishes as the economies recover. Sim- ilarly, fundamentals are of higher importance in the post-crisis period when compared with the following period. JEL Classification C22, C31, C33, G01, G32, G33 Keywords spatial econometrics, CDS spreads, sovereign credit risk, financial contagion, realised covari- ance Author's e-mail josef.zahlava@gmail.com Supervisor's e-mail petr.gapko@seznam.cz

In this study we analyse relationship between classical approach to valuation of linear interest rate derivatives and post-crisis approach when the valuation better reflects credit and liquidity risk and economic costs of the transaction on top of the risk-free rate. We discuss the method of collateralization to diminish counterparty credit risk, its impact on derivatives pricing, and how overnight indexed swap (OIS) rates became market standard for discounting future derivatives' cash flows. We show that using one yield curve to both estimating the forward rates and discounting the expected future cash flows is no longer possible in arbitrage free market. We review in detail three fundamental interest rate derivatives (interest rate swap, basis swap and cross-currency swap) and we derive discount factors used for calculating the present value of expected future cash flows that are consistent with market quotes. We also investigate drivers behind basis spreads, in particular, credit and liquidity risk, and supply and demand forces, and show how they impact valuation of derivatives. We analyse Czech swap rates and propose an estimation of CZK OIS curve and approximate discount rates in case of cross-currency swaps. Finally, we discuss inflation markets and consistent valuation of inflation swaps.

La thèse étudie les effets du projet européen de taxation des transactions financières. Elle en analyse les conséquences sur la volatilité, la liquidité, les volumes des marchés d’actions et d’options, ainsi que sur le prix des actions et des obligations. Le Chapitre I, analyse les réactions des teneurs de marché d’option et conclut à un impact non significatif pour les marchés d’options très liquides, et un impact significatif pour les marchés d’options peu liquides, qui est maximal lorsque les positions des teneurs de marché sont détenues jusqu'à leur échéance. Le Chapitre II conclut à une hausse du coût du capital pour les entreprises européennes qui serait défavorisées vis à vis de leurs concurrents situés en dehors de l’EU. C’est la non liquidité des marchés d’options à maturité longue, et l’arbitrage entre dérivés de crédit et actions, qui conduit à cette hausse, d’après le Chapitre I. Le Chapitre III modélise simultanément les prix des actions et des obligations des entreprises. Il conclut à une baisse du prix de ces actifs due à l' introduction de la FTT. Les entreprises à fort levier et taxées à des taux faibles verraient une dépréciation du prix des actions plus élevée que leur concurrentes soumises à des taux plus élevés. Ceci suggère une harmonisation des taux de taxes dans l’EU préalablement à la mise en place de la FTT. Enfin, la FTT, qui déprime le prix des actifs émis par les entreprises, est en conflit avec la règlementation BASEL III qui vise à renforcer leurs fonds propres.En conclusion, notre approche par les options permet de formaliser l’impact sur la volatilité et de trouver une justification à la baisse du prix des actifs mise en évidence par plusieurs études empiriques portant sur des introductions passées de telles taxes au Royaume-Uni et en Suède. / The dissertation reviews the effects, on capital markets, of implementing, within the EU, an excise tax (the FTT) on all financial transactions. We review the effects on the volatility, the liquidity, trading volumes and the price of assets. In Chapter I, we analyze the option market-makers hedging strategies. We conclude to an insignificant effect of the FTT in highly liquid options markets, as opposed to a significant effect in low liquid option markets, the maximum being reached when market makers hold positions until their expiration date. Chapter II evidences a negative impact of the FTT on the corporate cost of capital due to the illiquidity of long dated option markets, and the arbitrage between equity and credit derivatives. The FTT would increase considerably the cost of capital of European companies whose main competitors are outside the EU.In Chapter III, we model both stocks and bonds theoretical prices and conduct simulations of their reaction to the introduction of the FTT. We find that both shares and bond prices will be negatively affected by the FTT, increasing the cost of capital, in the short and long run. Companies with high leverage and a low tax rate will see the price of their shares fall further than the price of shares of comparable, high-tax, leveraged companies. This suggests that EU should level all corporation tax rates, within the EU, prior to the introduction of the FTT. Finally, the FTT has an antagonistic effect to the Basel III regulation which seeks to increase the capital of banks, because at the same time it lowers the prices of securities issued by Banks. In conclusion, our original approach focusing on options, is fruitful. It makes possible to quantify the impact of FTT on volatility and allows a theoretical justification of the negative impact on asset prices found in empirical reviews of past experience of the introduction of a FTT.

Cette thèse examine l’image de mode éditoriale en contexte(s), au sein de la presse magazine américaine entre les années 1960 et les années 1980, à travers une étude de cas sur les publications mainstream Vogue, Harper’s Bazaar et un nouveau magazine, Interview. On postule que la production photographique de ces trois titres représente à la fois le cœur de leur activité et de ces objets matériels, en raison de leur positionnement, de leurs codes et de leurs objectifs. On étudiera comment, dans ce cœur et à travers ses « grandes » séries éditoriales, se dégage un certain rapport à l’image comme plateforme entre une production collaborative et des réceptions, ainsi qu’une fonction de négociation par rapport au contexte historique. A travers l’étude des conditions de production des images, puis à travers leur analyse, et enfin par l’examen de leurs circulations, on démontrera l’existence d’une norme mainstream manifestant un certain conservatisme. Puis nous nous interrogerons sur les négociations éventuelles avec cette norme, sans cesse contestée, changeante en surface mais tenace.Un examen attentif de l’ensemble des tensions et des compromis au fil des moments de flottement que sont les décennies 1960 à 1980 nous permettra d’aboutir, sur la période étudiée, au constat qu’il existe bien un système articulé autour d’un discours hégémonique très difficile à questionner tant il est puissant et, en fin de compte, fermé. Ainsi, de manière transversale à tout notre travail, il émergera que l’ensemble des images de mode éditoriales est varié, mais lissé par un discours des magazines construit sur le long terme. Pourtant, il offre aussi bien des modèles que des contre-modèles, des contre-discours et des contre-points qui tous se déploient dans un cadre strict et souple, fermement orienté et adaptable, même s’il comporte quelques possibilités de subversion, toujours exercées à la marge. On conclura, en définitive, à la puissance de ce système, normé quoique toujours à l’équilibre entre des tensions contradictoires, structuré autour d’un format très fort, se nourrissant et s’exprimant par l’image de mode qui reste son fleuron. / This doctoral thesis examines fashion editorials through a case study of three American magazines in context, from the 1960s to the 1980s: Vogue and Harper’s Bazaar, two mainstream publications, and a new magazine then, Interview. It is postulated that the photographic editorial production of those magazines is central to them – as material objects, and as the core of their activity as well, both aspects enabling and unfolding their positions, their codes and their purposes. By looking at major editorial series, I explore how these images stand out as "contact zones" between a highly collaborative production process and their receptions, and how their function is also one of negotiation with regards to its context.A close analysis of the conditions of production, the content and the circulations of these images demonstrates that magazines express undeniable conservatism through the perpetuation of a mainstream norm. However, as this norm constantly changes on the surface, I argue that conditions regularly emerge for it to be negotiated. An attentive study of the tensions and compromises unfolding in the « uncertain moments » that characterize the period running from the 1960s through the 1980s demonstrates the existence of a powerful system. Structured around a coherent and hermetic narrative, it proves indeed hard to challenge. Yet, as this thesis argues, the ensemble of editorial fashion images homogenized by these long-term processes is in fact varied and diverse. If these images construct models, they also offer counter-models, counter-narratives and counter-points. All these possibilities converge into a strict but agile framework, firmly oriented by its producers but adaptable, even though its subversive potential is only realized at the margins.This system—structured around a powerful format—is highly restrictive yet it still performs a constant balancing act between conflicting tensions and goals, fueled by and unfolded in the fashion images at its core.

We assess the effects of austerity announcements on investors' perception of the government's solvency across the financial cycle. To do so, we construct a unique news dataset utilizing a newswire database which consists of governmental and parliamentary approvals of austerity measures for 11 European countries. We also follow more regular statements of governmental representatives towards austerity measures. The effects are studied on 10-year sovereign bond yield spreads vis-à-vis Germany during the period 01:2000-12:2019. Implementing pooled OLS regressions, we find significant decreasing effects in the pre-crisis period especially for the GIIPSH group (Greece, Ireland, Italy, Portugal, Spain, and Hungary) and decreasing although not significant effects in the post-crisis period. The crisis period manifests itself with increased surprise effects of announcements. The markets adopted announcements of the GIIPSH group as signals of deteriorating solvency which led to further increases of yield spreads. On the other hand, prudent countries (Czechia, France, Netherlands, Poland, and Slovakia) enjoyed a low sensitivity to their announcements across the cycle. Finally, we find that markets react rather on final announcements of austerity measures than to comments expressed by national representatives....

This paper examines the relative price spreads between dual-class shares issued by the same firm on the Swedish market in order to investigate if a voting premium exists and what factors contribute to it. Previous research has found diverging explanations for the variation in price spreads between dual-class shares. Some find explanatory power in the concentration of ownership whilst others find trading costs and liquidity to determine the size and direction of the voting premium. This study tests factors of control and liquidity against the relative price spread in the Swedish market and in accordance with earlier research, the results indicate that a statistically significant voting premium exists in Sweden, although it is relatively small in comparison to many other markets. The paper contributes to the current pool of research by the choice of market, and by adding up-to-date information regarding the voting premium as well as evidence that increased domestic institutional ownership affects the voting premium negatively. At the same time, foreign institutional ownership has an opposite effect and leads to increased price differences between share classes. The general conclusion of this paper is that while some factors related to control and ownership concentration show significance long-term, other unobserved aspects could provide greater explanatory power of the voting premium in the short term.

With the exception of holders of default-free instruments, a key risk run by investors is credit risk. To meet the need of investors to hedge this risk, the market uses credit derivatives. The South African credit derivatives market is still in its infancy and only the very simplistic instruments are traded. One of the reasons is due to the technical sophistication required in pricing these instruments. This dissertation introduces the key concepts of risk neutral probabilities, arbitrage free pricing, martingales, default probabilities, survival probabilities, hazard rates and forward spreads. These mathematical concepts are then used as a building block to develop pricing formulae which can be used to infer valuations to the most popular credit derivatives in the South African financial markets. / Operations Research / M.Sc. (Operations Research)

Les périodes marquées par une aversion au risque intense sont souvent l’origine de distorsions notables dans les prix de marché, et de pertes substantielles pour les investisseurs. Chaque épisode de crise financière montre que les mouvements de ventes généralisées sur les marchés ont des conséquences très négatives sur l’économie réelle. Ainsi, explorer le phénomène d’aversion au risque et la dynamique de propagation du sentiment de panique sur les marchés financiers peut aider à appréhender ces périodes de forte volatilité.Dans ce rapport de thèse, nous explorons différentes dimensions du phénomène d’aversion au risque, dans le cadre de portefeuilles d’obligations souveraines Européennes. Le rendement des obligations d’Etat, quotté par les traders, est sensé refléter entre autre le risque que le Trésor fasse défaut sur sa dette, avant que l’obligation vienne à maturation. Il s’agit là du risque souverain. Les crises financières habituellement occasionnent un mouvement important des rendements vers des niveaux plus élevés. Ce type de correction reflète un accroissement du risque souverain, et implique nécessairement une hausse du coût de financement pour les Trésors nationaux. Un objectif de ce rapport est donc de fournir des détails inédits aux Trésors sur la manière dont les rendements obligataires sont sensés se détériorer en période d’aversion au risque.Chapitre I explore le risque souverain dans le cadre d’un modèle probabiliste impliquant des distributions à queues lourdes, ainsi que la méthode GAS qui permet de capturer la dynamique de la volatilité. L’ajustement obtenu avec les distributions Hyperboliques Généralisées est robuste, et les résultats laissent penser que notre approche est particulièrement efficace durant les périodes marquées par une volatilité erratique. Dans un but de simplification, nous décrivons la mise en place d’un estimateur de volatilité intemporel, sensé refléter la volatilité intrinsèque de chaque obligation. Cet estimateur suggère que la volatilité croit de manière quadratique lorsque celle-ci est exprimée en fonction de la fonction de répartition des variations de rendements. Dans un second temps nous explorons une version bivariée du modèle. La calibration, robuste, met en valeur les corrélations entre chaque obligation. En guise d’observation générale, notre analyse confirme que les distributions à queues épaisses sont tout à fait appropriées pour l’exploration des prix de marché en période de crise financière.Chapitre II explore différentes manières d’exploiter notre modèle probabiliste. Afin d’identifier la dynamique de la contagion entre les obligations souveraines, nous analysons la réaction attendue du marché à une série de chocs financiers. Nous considérons un niveau important de granularité pour ce qui est de la sévérité du choc sous-jacent, et ceci nous permet d’identifier des lois empiriques supposées généraliser le comportement de la réaction de marché lorsque l’aversion au risque s’intensifie. Puis, nous incorporons nos estimateurs de volatilité et de réaction de marché à certaines approches reconnues d’optimisation de portefeuille et nous notons une amélioration de la résistance des portefeuilles, dans cette nouvelle version. Finalement, nous développons une nouvelle méthodologie d’optimisation de portefeuille basée sur le principe de mean-reversion.Chapitre III est dédié au pricing de produits dérivés de taux. Nous considérons maintenant que l’aversion au risque cause l’émergence de discontinuités dans les prix de marché, que nous simulons par le biais de processus à sauts. Notre modèle se concentre sur les processus de Hawkes qui ont l’avantage de capturer la présence d’auto-excitation dans la volatilité. Nous développons une procédure de calibration qui se distingue des procédures habituelles. Les résultats de volatilité implicite sont cohérents avec la volatilité réalisée, et suggèrent que les coefficients de prime de risque ont été estimés avec succès. / Periods of deep risk aversion are usually marked by sizeable distortions in market prices, and substantial losses in portfolios. As observed during financial crises, a generalized debacle in financial markets is a very negative shock for the real economy. Against this backdrop, it looks relevant to explore how risk aversion tends to affect global market valuations, especially if this exercise helps make the promotion of more optimal portfolio rebalancing procedures.In this dissertation, we investigate different dimensions of risk aversion, with a focus on European Sovereign debt securities. For a given sovereign bond, the (quoted) yield to maturity has to reflect the underlying risk that the Treasury may default on its debt, before maturation of the bond. This is sovereign risk. Financial crises usually occasion an upward correction in bond yields. Since higher yields reflect larger sovereign risk and higher funding costs, national Treasuries are usually inclined to get a deeper understanding of how sovereign risk could evolve under the influence of fierce risk aversion. This is another objective of our research analysis.In Chapter I, we consider a probabilistic approach to sovereign risk exploration, with the main purpose of illustrating the non-linear reaction ensuing from a gradual deterioration in market sentiment. We consider heavy-tailed distributions, and we use the Generalised Autoregressive Score method as a means to capture the volatility momentum. The goodness of fit provided by Generalised Hyperbolic distributions is compelling, and results suggest that our approach is particularly relevant to fit periods or erratic volatility, typical of financial crises. As an attempt to simplify the model, we focus on an empirical formulation of the ‘untemporal’ volatility of each security. This estimator of the intrinsic volatility suggests that volatility tends to accelerate in a quadratic manner when it is expressed against the cumulative distribution function of the yield variations. In a second part, we extend this approach to a problem of larger dimension and we explore the dynamics of risk aversion from a bivariate point of view. Results look robust and illustrate multivariate correlations between sovereign securities. As a general conclusion, heavy-tailed distributions look remarkably efficient to replicate the distribution of times-series affected by distorted volatility and erratic price variations.Chapter II explores different ways to extract information from the model, about financial contagion and how it is supposed to propagate through sovereign securities. In particular, we explore the market reaction to a series of many shocks with gradual intensity. Results offer a high degree of granularity and we extrapolate empirical rules on the expected market dynamics, when risk aversion intensifies. Then we incorporate our estimators of volatility and market reaction (to shocks) into popular portfolio optimisation procedures and we see positive implications on the general resilience of these portfolios. Finally, we also design an in-house methodology for optimal portfolio rebalancing, based on mean reversion.In Chapter III, we explore how sovereign risk tends to affect the price of financial derivatives in a risk-off environment. We consider that risk aversion and the ensuing volatility now favour the emergence of sizeable discontinuities in market prices, that we model with stochastic jumps. The different approaches we investigate extensively rely on Hawkes processes. These stochastic processes seek to estimate the durable impact of risk aversion onto the dynamics of jumps, via the introduction of dedicated self-excited loops. We develop an original approach to the calibration, different from conventional procedures. In the end, the calculated implied volatility remains in the vicinity of the realised volatility and there is a visible capability to jump on any rise in risk aversion.

A ingestão de ácidos graxos trans tem sido consistentemente mostrada ter efeitos adversos nos lipídeos sanguíneos, principalmente na razão LDL:HDL colesterol, que é um forte marcador de risco cardiovascular. De acordo com a Resolução RDC (Resolução da Diretoria Colegiada) de número 360 da ANVISA, de 23 de dezembro de 2003 da ANVISA, (Agência Nacional de Vigilância Sanitária), após 1 de agosto de 2006 as indústrias de alimentos devem declarar o conteúdo de ácidos graxos trans por porção do produto. O objetivo deste trabalho foi analisar a composição de ácidos graxos trans em margarinas e cremes vegetais após a nova legislação. As margarinas e cremes vegetais foram adquiridos na cidade de São Paulo, perfazendo um total de 40 amostras, 17 margarinas cremosas, 8 margarinas light, 1 margarina culinária cremosa, 2 margarinas culinária duras, 1 margarina culinária líquida, 2 alimentos a base de margarina, 8 cremes vegetais e 1 creme vegetal light foram analisados. Os lipídeos foram extraídos por hidrólise ácida, derivatizados com BF3 e em seguida analisados em cromatógrafo gasoso, equipado com coluna capilar SP- 2560 de 100 m a 180C. Os teores de trans totais das margarinas interesterificadas sofreram aumento significativo no período compreendido entre os anos 2000 a 2006, variando de 0 2,17% e 0,71 2,32% respectivamente. Nas margarinas hidrogenadas também foi observado aumento de 11,56 20,55% para 12,63 26,00% em 2006. As margarinas culinárias duras foram o tipo de margarina que apresentou concentrações elevadas de trans, variando de 19,38 a 30,35%. A margarina culinária cremosa e a margarina culinária líquida continham baixos teores de trans, 1,62 e 3,32% respectivamente. Os cremes vegetais interesterificados não sofreram mudança significativa, passando de 0 1,70% para 0 1,66%. No creme vegetal hidrogenado ocorreu redução acentuada dos teores médios de trans totais de 20,55 para 12,63%. A mudança na legislação não foi suficiente para reduzir totalmente os teores de ácidos graxos trans nas margarinas e cremes vegetais. Apesar disto, foi observado um aumento da disponibilidade de margarinas e cremes vegetais zero trans, que são aqueles que contém teores ≤ 0,2 g/porção de 10 g. / Intake of trans fatty acids (TFA) has been consistently shown to have adverse effects on blood lipids, most notably on the LDL:HDL cholesterol ratio, which is a strong marker of cardiovascular risk. According to RDC (Resolução de Diretoria Colegiada) resolution number 360 of the ANVISA (Agência Nacional de Vigilância Sanitária National Agency for Sanitary Vigilance), after August 1, 2006, food industries must declare the trans fatty acid (TFA) content per product serving. The objective of this work was to analyzer the composition of trans fatty acid in margarines and fat spreads after the new legislation. The margarines and fat spread were obtained in the city of São Paulo, making a total of 40 samples, seventeen tub margarines, eight light tub margarines, one culinary tub margarine, two culinary hard margarines, one culinary liquid margarine, two margarine-based foods, eight fat spreads and one light fat spread were analyzed. The lipids were extracted by acid hydrolysis, derivatizados with BF3 and then analyzed by gas chromatograph, equipped with capillary column SP-2560 of 100 m a 180 C. The total TFA content in interesterified margarines significantly increased between 2000 and 2006, rising from 02.17% to 0.712.32%. For hydrogenated margarines, an increase was also observed, from 11.5620.55% to 12.6326.00% by 2006. The culinary hard margarines were the type of margarine that had high concentrations of trans, ranging from 19.38 to 30.35%. Culinary tub margarine and culinary liquid margarine contained low levels of trans, 1.62 and 3.32% respectively. Interesterified fat spreads did not significantly change, from 0 1.70% to 01.66%. In hydrogenated fat spreads, a sharp reduction was seen, with average levels of total trans fats falling from 20.55% to 12.63%. Changes in the legislative regulation were not sufficient to significantly reduce the levels of TFA in margarines and fat spreads. Nevertheless, an increased availability of zero trans fat margarines and fat spreads on the market was observed (levels ≤ 0.2 g per 10 g serving).

In dieser Dissertation befassen wir uns mit ökonometrischen Modellen und empirischen Eigenschaften von Intra-Tages (Hochfrequenz-) Aktienmarktdaten. Der Fokus liegt hierbei auf der Analyse des Einflusses, den die Veröffentlichung von Wirtschaftsnachrichten auf die Aktienmarktaktivität hat, der Vorhersage der Geld-Brief-Spanne sowie der Modellierung von Volatilitätsmaßen auf Intra-Tages-Zeitintervallen. Zunächst quantifizieren wir die Marktreaktionen auf Marktneuigkeiten innerhalb eines Handelstages. Zu diesem Zweck benutzen wir linguistisch vorab bearbeitete Unternehmensnachrichtendaten mit Indikatoren über die Relevanz, Neuheit und Richtung dieser Nachrichten. Mit einem VAR Modell für 20-Sekunden Marktdaten der London Stock Exchange weisen wir durch Nachrichten hervorgerufene Marktreaktionen in Aktienkursrenditen, Volatilität, Handelsvolumina und Geld-Brief-Spannen nach. In einer zweiten Analyse führen wir ein long memory autoregressive conditional Poisson (LMACP)-Modell zur Modellierung hoch-persistenter diskreter positivwertiger Zeitreihen ein. Das Modell verwenden wir zur Prognose von Geld-Brief-Spannen, einem zentralen Parameter im Aktienhandel. Wir diskutieren theoretische Eigenschaften des LMACP-Modells und evaluieren rollierende Prognosen von Geld-Brief-Spannen an den NYSE und NASDAQ Börsenplätzen. Wir zeigen, dass Poisson-Zeitreihenmodelle in diesem Kontext signifikant bessere Vorhersagen liefern als ARMA-, ARFIMA-, ACD- und FIACD-Modelle. Zuletzt widmen wir uns der optimalen Messung von Volatilität auf kleinen 20 Sekunden bis 5 Minuten Zeitintervallen. Neben der Verwendung von realized volatility-Ansätzen konstruieren wir Volatilitätsmaße durch Integration von spot volatility-Schätzern, sodass auch Beobachtungen außerhalb der kleinen Zeitintervalle in die Volatilitätsschätzungen eingehen. Ein Vergleich der Ansätze in einer Simulationsstudie zeigt, dass Volatilitätsmaße basierend auf spot volatility-Schätzern den RMSE minimieren. / In this thesis we present econometric models and empirical features of intra-daily (high frequency) stock market data. We focus on the measurement of news impacts on stock market activity, forecasts of bid-ask spreads and the modeling of volatility measures on intraday intervals. First, we quantify market reactions to an intraday stock-specific news flow. Using pre-processed data from an automated news analytics tool we analyze relevance, novelty and direction signals and indicators for company-specific news. Employing a high-frequency VAR model based on 20 second data of a cross-section of stocks traded at the London Stock Exchange we find distinct responses in returns, volatility, trading volumes and bid-ask spreads due to news arrivals. In a second analysis we introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. We discuss theoretical properties of LMACP models and evaluate rolling window forecasts of quoted bid-ask spreads for stocks traded at NYSE and NASDAQ. We show that Poisson time series models significantly outperform forecasts from ARMA, ARFIMA, ACD and FIACD models in this context. Finally, we address the problem of measuring volatility on small 20 second to 5 minute intra-daily intervals in an optimal way. In addition to the standard realized volatility approaches we construct volatility measures by integrating spot volatility estimates that include information on observations outside of the intra-daily intervals of interest. Comparing the alternative volatility measures in a simulation study we find that spot volatility-based measures minimize the RMSE in the case of small intervals.