-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …

information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our … findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …

We exploit direct model-free measures of daily equity return volatility and correlation obtained from high …, solidify and extend existing characterizations of stock return volatility and correlation. We find that the unconditional … portfolio diversification when the market is most volatile. Our findings are broadly consistent with a latent volatility fact or …

-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …