Allen, David E.; McAleer, Michael; Scharth, Marcel - Department of Economics and Finance, College of … - 2010
degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Carefully modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility …