There is an emerging consensus in empirical finance that realized volatility series typically display long range … some illustrative analysis of how long memory may arise from the accumulative process underlying realized volatility. The …

in the literature on realized variance, but a formal investigation into their properties has been lacking. Our empirical … and the choice of sampling scheme can therefore have an important impact on the properties of realized variance. For RV we …

The quality of the asymptotic normality of realized volatility can be poor if sampling does not occur at very high … frequencies. In this article we consider an alternative approximation to the finite sample distribution of realized volatility …

Mancino (2002) and Hayashi and Yoshida (2005a) as alternative methods to classical realized quadratic covariation. The purpose …

This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general … univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the … problems in terms of consistent estimation of the daily realized volatility. Independent and dependent noise processes are …

ARFIMAX models are applied in estimating the intra-day realized volatility of the CAC40 and DAX30 indices. Volatility … clustering and asymmetry characterize the logarithmic realized volatility of both the indices. The ARFIMAX model with time … superior next trading day's realized volatility forecasts. …