Allen, David E.; McAleer, Michael; Scharth, Marcel - Institute of Economic Research, Kyoto University - 2010
of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting … errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are …. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility model, which …