paper investigates the economic benefit of direct utility based estimation of the parameters of a volatility model and … found that maximal utility based estimation, taking into account transactions costs, of a simple volatility model is …Forecasts of asset return volatility are necessary for many financial applications, including portfolio allocation …

the loss function under which models of realised volatility are estimated. It is found that employing a utility based …Recent advances in the measurement of volatility have utilized high frequency intraday data to produce what are … generally known as realised volatility estimates. It has been shown that forecasts generated from such estimates are of positive …

Within the context of volatility timing and portfolio selection this paper considers how best to estimate a volatility … model. Two issues are dealt with, namely the frequency of data used to construct volatility estimates, and the loss function … used to estimate the parameters of a volatility model. We find support for the use of intraday data for estimating …

This paper evaluates the economic gains associated with following a volatility timing strategy based on a multivariate … model of realized volatility. To study this issue we build a high frequency database with the most actively traded Brazilian … stocks. Comparing with traditional volatility methods, we find that economic gains associated with realized measures perform …

microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility …. Even bias-corrected and consistent realized volatility (RV) estimates of IV can contain residual microstructure noise and … other measurement errors. Such noise is called “realized volatility error”. As such errors are ignored, we need to take …

microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility …. Even bias-corrected and consistent realized volatility (RV) estimates of IV can contain residual microstructure noise and … other measurement errors. Such noise is called "realized volatility error". Since such errors are ignored, we need to take …

VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that …