We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than … focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting … functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized …

-frequency financial market data modeling realized volatility has become a new and innovative research direction. By constructing … 'observable' or realized volatility series from intraday transaction data, the use of standard time series models, such as ARFIMA … residuals of the commonly used time-series models for realized volatility exhibit non-Gaussianity and volatility clustering. We …

volatility than for realized volatility in this market. Finally, we show that the jump component of future realized exchange rate …

We consider the properties of three estimation methods for integrated volatility, i.e. realized volatility, the Fourier … volatility process. However, bid-ask bounce effects render realized volatility and especially the wavelet estimator less useful …

realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …