model of realized volatility. To study this issue we build a high frequency database with the most actively traded Brazilian … bootstrapped, however, performance fees are not significant, which is an indication that economic gains of realized volatility are …

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 …

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