A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is driven by …

realized volatility series with a time-varying parameters HAR model with exogenous variables. …

The volatility of financial returns is characterized by rapid and large increments. We propose an extension of the … Heterogeneous Autoregressive model to incorporate jumps into the dynamics of the ex-post volatility measures. Using the realized …-range measures of 36 NYSE stocks, we show that there is a positive probability of jumps in volatility. A common factor in the …

estimate the parameters of continuous-time stochastic volatility models with auxiliary specifications based on realized … volatility measures. Monte Carlo simulations shows the bias reduction of the indirect estimates obtained when the microstructure …

The realized volatility of financial returns is characterized by persistence and occurrence of unpredictable large … crises. Compared to other realized volatility models, the introduction of the jump component provides a sensible improvement … in the fit, as well as for in-sample and out-of-sample volatility tail forecasts. …

We propose a simple model in which realized stock market return volatility and implied volatility backed out of option … properties of strong persistence in volatility and forecastability of future realized volatility from current implied volatility …, which have been interpreted as long memory (or fractional integration) in volatility and fractional cointegration between …

volatilities as measured by daily range. Long memory features of the range-based volatility estimators of the two series are …