investigates the properties of realized volatility in the soybean futures market. The results indicate that the distributional … properties of realized volatility based on 5-minute returns largely correspond with existing literature. The findings of three …

highfrequency financial market data modeling realized volatility has become a new and innovative research direction. By constructing … observable or realized volatility series from intraday transaction data, the use of standard time series models, such as ARFIMA … residuals of the commonly used timeseries models for realized volatility exhibit nonGaussianity and volatility clustering. We …

We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than … focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting … functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized …

observations. In the first stage we make use of the feasible central limit theory for realized volatility, as recently developed in …

We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than … focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting … functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized …

volatility than for realized volatility in this market. Finally, we show that the jump component of future realized exchange rate …

realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …

–frequency financial market data modeling realized volatility has become a new and innovative research direction. By constructing … “observable” or realized volatility series from intraday transaction data, the use of standard time series models, such as ARFIMA … residuals of the commonly used time–series models for realized volatility exhibit non–Gaussianity and volatility clustering. We …