We compare density forecasts of the Samp;P 500 index from 1991 to 2004, obtained from option prices and daily and five-minute index returns. Risk-neutral densities are given by using option prices to estimate diffusion and jump-diffusion processes, that incorporate stochastic volatility, and...

We compare forecasts of the realized volatility of the pound, mark and yen exchange rates against the dollar, calculated from intraday rates, over horizons ranging from one day to three months. Our forecasts are obtained from a short memory ARMA model, a long memory ARFIMA model, a GARCH model...

Using high frequency intraday returns, we calculate the realized volatility of the USD/GBP, USD/DEM and USD/JPY exchange rates. It is shown that the dynamics of the logarithms of realized volatilities can be captured by either a fractionally integrated long memory model or a short memory ARMA...

We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for the market portfolio. We show, through a Monte Carlo study, that using intraday jump tests and a coexceedance criterion to detect cojumps has a power similar to the cojump test proposed by Bollerslev et al....