Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2013
(2), pages 80-109.<P> In this paper we document that realized variation measures constructed from highfrequency returns reveal a … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …