Hua, Jian; Manzan, Sebastiano - In: Journal of Banking & Finance 37 (2013) 11, pp. 4381-4403
The aim of this paper is to forecast (out-of-sample) the distribution of financial returns based on realized volatility measures constructed from high-frequency returns. We adopt a semi-parametric model for the distribution by assuming that the return quantiles depend on the realized measures...