We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the …

, forecasting of the full density for long horizons is feasible, which we pursue. We document variability in conditional variances … over time, which stresses the importance of careful modeling and forecasting of volatility. We show that improved model fit …

the first-order asymptotic validity of this method in the multivariate context with a potential presence of jumps …

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … an additional forecasting variable. A vector HAR (VecHAR) model for the resulting simultaneous system is introduced … exchange and stock markets. Out-of-sample forecasting experiments confirm that implied volatility is important in forecasting …

-form volatility modeling and forecasting as well as testing for the presence of jumps. …

This paper considers the performance of different long-memory dynamic models when forecasting volatility in the stock … noise. A comparison between a class of HAR- and ARFIMA models is facilitated on the basis of out-of-sample forecasting …