The aim of this paper is to forecast (out-of-sample) the distribution of financial returns based on realized volatility …

Recent literature has focused on realized volatility models to predict financial risk. This paper studies the benefit … on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility … of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized …

-free implied volatility (from option prices) and model-free realized volatility (from high-frequency intraday data), coined as …

We investigate the relationship between volatility, measured by realized volatility, and trading volume for 25 NYSE …

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six … variety of new realized volatility estimators. The selection of realized volatility estimator greatly affects jump detection … effects of jumps on volatility. Our results expand and complement the previous literature on the nonparametric realized …

This study deals with the out-of-sample predictability of realized volatility induced by implied volatility using FGLS …, China, South Korea and India. Prices were then transformed into realized volatility indices. The relation between realized …

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 …