Tracking poverty is predicated on the availability of comparable consumption data and reliable price deflators. However, regular series of strictly comparable data are only rarely available. Poverty prediction methods that track consumption correlates as opposed to consumption itself have been...

This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the...