We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … in the information set, including implied volatility backed out from option prices. Realized volatility is separated into … future realized volatility components in all three markets. Perhaps surprisingly, the jump component is, to some extent …

In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency … data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized … Volatility and asset returns. We derive the appropriate dynamics to be used for option pricing purposes in this framework, and we …

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … in the information set, including implied volatility backed out from option prices. Realized volatility is separated into … future realized volatility components in all three markets. Perhaps surprisingly, the jump component is, to some extent …

Calvo pricing mecha- nism in macroeconomic dynamics. A limit theory for the conventional realized volatility (RV) measure of … (1993) and Mykland and Zhang (2006) on realized volatility measures with random and intermittent sampling, and to ACD models …

realized volatility. We nd that volatility risk-premia are strongly countercyclical, even more so than standard measures of …

properties of these two tests. It is well-known that the realized volatility(RV) follows a long memory process, so we apply these …

-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …, this so{called realized volatility can be used for more accurate model evaluation and description of the dynamic and distri …. Keywords: Realized Volatility, Realized Betas, Volatility Modeling JEL classi cation: C13, C14, C22, C52, C53 Financial …