. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility … time series of optimal portfolio weights are constructed from observed realized volatility and direct forecast is also …

estimated and their ability to predict the one-trading-day-ahead CAC40 realized volatility is investigated. In particular, this … paper follows three steps: (i) The optimal sampling frequency for constructing the CAC40 realized volatility is examined … based on the volatility signature plot. Moreover, the realized volatility is adjusted to the information that flows into the …

the Greek equity market. This paper examines the economic value of various realized volatility and covariance estimators … portfolios, in the strategy of volatility timing. The economic value of the contemporary non-parametric realized volatility …

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 …

Realized Volatility (RV), which is used as a proxy of the unobservable log-return volatility. We model the RV dynamics by a …

First order asymptotic validity is established for stationary bootstrapping of the realized volatility. This enables us …

There is a growing literature on the realized volatility (RV) forecasting of asset returns using high-frequency data …

forecast distribution of realized volatility on the S&P500 stock index during the recent financial crisis. A resampling …