This paper disentangles the added value of using high-frequency-based (realized) covariance measures on multivariate volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding economic gains using a broad set of portfolio...

This paper demonstrates applications of automatic differentiation with nested dual numbers in the diffusion operator integral variance reduction framework originally proposed by Heath and Platen. Combining this estimator with automatic differentiation techniques for computing value function...

I study time-variation in variance discount rates, defined as the expected returns for investing in variance risk. I show that variance discount rates drive a significant fraction of the variation in prices of S&P 500 variance swaps. This analysis offers important insights into preferences of...