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 study the predictability of stock returns using an iterative model-building approach known as quantile boosting. Examining alternative return quantiles that represent normal, bull and bear markets via recursive quantile regressions, we trace the predictive value of extensively studied...