We explore intraday transaction records from NASDAQ OMX Commodities Europe from January 2006 to October 2013. We analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH framework for the joint modeling of returns and realized...

This chapter surveys the methods available for extracting forward-looking information from option prices. We consider volatility, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice differentiable function of the future realization...