estimate daily realized volatility from returns. Then, we use stochastic cusp catastrophe on data normalized by the estimated …

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

commonly used to forecast realized volatility, this paper also contributes to the literature by coupling realized measures with …-predict volatility uniformly during all tested periods. Our analysis favors the median realized volatility, as it delivers the best …

bootstrapped, however, performance fees are not significant, which is anindication that economic gains of realized volatility are …

estimate the parameters of continuous-time stochastic volatility models with auxiliary specifications based on realized … volatility measures. Monte Carlo simulations shows the bias reduction of the indirect estimates obtained when the microstructure …

commonly used to forecast realized volatility, this paper also contributes to the literature by coupling realized measures with …-predict volatility uniformly during all tested periods. Our analysis favors the median realized volatility, as it delivers the best …

realized volatility estimation, and its usage in the VaR calculation. The aim of the research is comparing of the realized …. Keywords: realized volatility; HAR-RV; VaR; market risk; financial crisis 2008. … volatility calculation methods, some of them are developed by the author and for the first time presented in the scientific …

, the availability of realized volatility measures help us in learning about parameters and latent states. The method is …