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 …

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

realized volatility from the returns in the first step and use stochastic cusp catastrophe on data normalized by the estimated …

research has also found it useful to account for leverage in models of realized volatility, as well as in models of the … continuous and jump components of realized volatility. This paper explores the use of smooth transition autoregressive (STAR …) models for capturing leverage effects in multiple series of the continuous components of realized volatility. We find that …