-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …

a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more …

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional … alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through …

We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …