variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests … explore the stability of the fractionally cointegrating relation between implied- and realized volatility (IV and RV …

A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …