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

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

Goal of this paper is to analyze and forecast realized volatility through nonlinear and highly persistent dynamics. In …

researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of … paper we adopt this view on the dependence structure of volatility and propose a localized procedure for modeling realized … volatility. That is at each point in time we determine a past interval over which volatility is approximated by a local linear …

, is partly present in the EUA futures market. Similar to other classical financial markets, realized volatility estimates …

and put implied volatilities are superior to historical volatility in forecasting future realized volatility. Moreover …This paper examines the relationship between the volatility implied in option prices and the subsequently realized … volatility by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years …

two-scale realized volatility (TSRV) estimator is used to provide an insight into market activity in a number of FTSE-100 … five-minute realized volatility, are used to identify changes in risk perceptions in the immediate aftermath of the 11M …

issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures … and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in … contract in the European Climate Exchange (ECX), which is valid during Phase II (2008-2012) of the EU ETS. The realized …