decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between …

This thesis studies four related topics in financial economics; realized volatility modelling and forecasting in the … presence of model instability, forecasting stock return realized volatility at the quarterly frequency, quarterly realized beta … instability in models of realized volatility and their corresponding forecasts. Testing for model instability is conducted with a …

forecasting next-day realized volatility in all the three US markets. The appropriateness of including implied volatility in …

jump and continuous component from the realized volatility. We also tried to investigate whether dividing volatility into …