The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot which minimizes the micro-structure...

Introduction to high frequency financial modelling -- Intra-day realized volatility measures -- Methods of volatility estimation and forecasting -- Multiple model comparison and hypothesis framework construction -- Realized volatility forecasting - applications -- Recent methods: a review --...

We propose a new decomposition of the realized covariance matrix into components based on the signs of the underlying high-frequency returns. Under an asymptotic setting in which the sampling interval goes to zero, we derive the asymptotic properties of the resulting realized semicovariance...