realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …

procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility …

properties of the realized volatility series and on assessing the connection between realized volatility and returns. In …- French) factors. We discuss our findings in the context of the recent literature on realized volatility and feedback effects …Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized …

properties of the realized volatility series and on assessing the connection between realized volatility and returns. In …- French) factors. We discuss our findings in the context of the recent literature on realized volatility and feedback effects …Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized …

realized volatility to that of a linear long memory model fit to the log realized volatility. The performance of the new …

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. Analytically, the asymptotics of the proposed estimator is compared to the usual realized volatility estimators … variation of intra daily returns (which is based on first order log-price differences). This latter is known as realized …