realized volatility. Our approach is to use a realized volatility measure to construct a non parametric (kernel) estimator of … the predictive density of daily volatility. We show that, by choosing an appropriate realized measure, one can achieve … well known realized measures, i.e. realized volatility, bipower variation, and two measures robust to microstructure noise …

Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized … properties of the realized volatility series and on assessing the connection between realized volatility and returns. In … unconditional loadings on the realized risk factor(s) for different sets of characteristics-sorted common stock portfolios. We find …

the quadratic variation of the second order log-price differences. This is contrary to the well known realized quadratic … variation of intra daily returns (which is based on first order log-price differences). This latter is known as realized … volatility. Analytically, the asymptotics of the proposed estimator is compared to the usual realized volatility estimators …

the past. For illustration, the WAR is applied to a sequence of intraday realized volatility covolatility matrices. …

Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized … properties of the realized volatility series and on assessing the connection between realized volatility and returns. In … unconditional loadings on the realized risk factor(s) for different sets of characteristics-sorted common stock portfolios. We find …

realized volatility to that of a linear long memory model fit to the log realized volatility. The performance of the new …

-growing literature on modeling and forecasting realized volatility constructed from high-frequency returns. I discuss a variety of … applications and extensions, including recent work on realized betas, and methods for disentangling the continuous and jump …

consistently estimated by the realized one according to the quadratic variation principle, even if the convergence speed can result … quadratic variation limit, thus minimizing the discrepancy between realized and integrated volatility. …