Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - School of Economics and Management, University of Aarhus - 2007
in the information set, including implied volatility backed out from option prices. Realized volatility is separated into … its continuous and jump components, and the heterogeneous autoregressive (HAR) model is applied with implied volatility as …, controlling for possible endogeneity issues. We find that implied volatility contains incremental information about future …