Insurers and pension funds face the challenges of historically low interest rates and volatility in equity markets, that have been accentuated due to the COVID-19 pandemic. Recent advances in equity portfolio management with a target volatility have been shown to deliver improved on average risk...

The last decade has seen substantial advances in the measurement, modeling and forecasting of volatility which has centered around the realized volatility literature. To date, most of the focus has been on the daily and monthly frequency, with little attention on longer horizons such as the...

For the major foreign exchange rates, it is found that the optimal modelling frequency of volatility is weekly for forecast horizons ranging from 1 week up to 1 month. Autoregressive modelling is based on realized volatility measures computed from 30 min returns

To analyze the determinants of the observed variation in stock prices, Campbell and Shiller (1988) have suggested decomposing unexpected stock returns into unexpected changes in investors' beliefs about future cash flows (cash flow news) and discount rates (discount rate news). Based on a...