We find that model estimates of the term structure of ex ante or perceived macro uncertainty are more in line with realized uncertainty than survey respondents perceptions for both in flation and output growth. Survey estimates contain short-term variation in short-horizon uncertainty which is...

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...

If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...

In this paper, we use factor-augmented HAR-type models to predict the daily integrated volatility of asset returns. Our approach is based on a proposed two-step dimension reduction procedure designed to extract latent common volatility factors from a large dimensional and high-frequency returns...

In recent years, the field of financial econometrics has seen tremendous gains in the amount of data available for use in modeling and prediction. Much of this data is very high frequency, and even 'tick-based', and hence falls into the category of what might be termed big data. The availability...

In this paper, we review econometric methodology that is used to test for jumps and to decompose realized volatility into continuous and jump components. In order to illustrate how to implement the methods discussed, we also present the results of an empirical analysis in which we separate...