This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects...

This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects...

In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations are between the three main FTSE indices of the Athens Stock Exchange (ASE). Using intraday data I rst construct four state-of-the-art realized correlation estimators which I...

We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE). Using intraday data we first construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various tests on...