In previous studies, high-frequency data has been used to improve portfolio allocation by estimating the full realized covariance matrix. In this paper, we show that strategies using high-frequency data for measuring and forecasting univariate realized volatility alone can already generate...

This paper proposes a robust framework for disentangling undiversifiable common jumps within the realized covariance matrix. Simultaneous jumps detected in our empirical study are strongly related to major financial and economic news, and their occurrence raises correlation and persistence among...