This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...

In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to twenty plus years of daily data for three indices. As a benchmark, I use the realized volatility (RV) for the S&P 500, DOW JONES and STOXX50 indices, sampled at 5-minute intervals, taken...