spurious long memory models considered in the literature. The tests are applied to the daily realized volatility of the S&P 500 …

realized volatility as proposed in Andersen et al. (2003, Econometrica 71, 529-626). Our findings reveal not only a significant … provided for the S&P 500 stock index futures market. Neither unconditional nor conditional realized volatility has a … NEW EVIDENCE ON EXPIRATION-DAY EFFECTS USING REALIZED VOLATILITY: AN INTRADAY ANALYSIS FOR THE SPANISH …

Forecasts of the realized volatility of the exchange rate returns of the Euro against the U.S. Dollar obtained directly … and through decomposition are compared. Decomposing the realized volatility into its continuous sample path and jump … components and modeling and forecasting them separately instead of directly forecasting the realized volatility is shown to lead …

cover a wide range of topics. Such topics include discussing a class of tests for correlation, estimation of realized … volatility, modeling time series and continuous-time models with long-range dependence, estimation and specification testing of …

is introduced. The model is fitted to the daily realized volatility series of Deutschemark/Dollar and Yen/Dollar returns …

observations. In the first stage we make use of the feasible central limit theory for realized volatility, as developed in Jacod …

currencies. The forecasting models that have been used in recent analyses of the predictability of daily realized volatility …