properties of strong persistence in volatility and forecastability of future realized volatility from current implied volatility … implied and realized volatility, are accounted for by occasional common level shifts. …

condition. Results are compared across alternative volatility proxies, in particular, realized volatility from high-frequency (5 …

We study time-varying realized volatility and related correlation measures as proxies for the true volatility and … upside co-movements are greater than downside ones. Moreover we study the association between realized volatility and …

(BIV) comes out as the best one. Highest average pricing errors we obtain for the Black model with realized volatility (BRV …

No consensus has emerged on how to deal with overnight returns when calculating realized volatility in markets where … model depends on the way overnight returns are incorporated into realized volatility. The evidence favours weighted …

errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are …. 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 periods. Returns in this …