Purpose – The purpose of this paper is to examine whether realized volatility can provide additional information on the … realized volatility is defined as the squared overnight return plus the close to open squared return of the period between the … some stocks for which realized volatility measures add information in the volatility process, but there are still quite a …

and nonlinear heterogeneous autoregressive realized volatility (HAR-RV) type models. We find that past "large" jump power … variations help less in the prediction of future realized volatility, than past "small" jump power variations. Additionally, we …

ex-ante and ex-post volatilities. Impulse response analysis explains that realized volatility declines significantly …

-pricing model, which is more convenient compared with other option pricing models associated with realized volatility in terms of … autoregressive model of the realized volatility (HAR)-type models in the S&P 500 index options market with comparison of the non …

proposed, using realized volatility (RV) as an auxiliary time series to improve inference on latent volatility. The information …

the daily realized volatility of USD/JPY exchange rates using high frequency data. Following Huang and Tauchen (2005) and … Barndorff-Nielsen and Shephard (2004, 2006), we use bi-power variation to decompose daily realized volatility into two … of realized volatility and the central bank intervention using a system of simultaneous equations. We find strong support …

negative returns. Second, this paper studies the relationship between VHSI and the future realized volatility of HSI, and … predicts the future realized volatility of HSI with Kalman filter. The empirical findings suggest that VHSI is an unbiased and … efficient estimate of the future realized volatility and includes information of the future realized volatility when employing …