Allen, David E.; McAleer, Michael; Scharth, Marcel - Department of Economics and Finance, College of … - 2014
In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree … errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are … of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility …