Using realized volatility to estimate daily conditional volatility of financial returns, we compare forecasts of daily … and Wright (2001), that projections on past realized volatility provide better 1-step forecasts than the QML …

based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic …

based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic …

. Even bias-corrected and consistent (modified) realized volatility (RV) estimates of the integrated volatility can contain … residual microstructure noise and other measurement errors. Such noise is called “realized volatility error”. Since such …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Carefully modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility … (DARV) model, which incorporates the important fact that realized volatility series are systematically more volatile in high …

. (Understanding, optimizing, using and forecasting) realized volatility and correlation. Leonard N. Stern School Finance Department … the American Statistical Association 96, no. 453: 42-55; 2000b. Exchange rate returns standardized by realized volatility … volatility. NBER Working Paper Series 8160.] and Andersen et al. 2001a. Modeling and forecasting realized volatility. NBER …

compared with existing models. We extend the new specification to realized volatility by taking account of measurement errors … to the realized volatility of Standard and Poor’s 500 Composite Index to show that the new specification of asymmetry …

This article shows that bagging can improve the forecast accuracy of time series models for realized volatility. We …