The last decade has seen substantial advances in the measurement, modelling and forecasting of volatility which has centered around the realized volatility literature. To date, most of the focus has been on the daily and monthly frequencies, with little attention on longer horizons such as the...

The recent advent of high-frequency data and advances in financial econometrics allow market participants to evaluate the accuracy of different beta (systematic risk) measurements. Benchmarking against the monthly realized beta formed by 30-minute data, we compare the popular Fama--MacBeth...