Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - School of Economics and Management, University of Aarhus - 2015
We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the asymptotic theory for high-frequency realized volatility estimation to improve the accuracy of the forecasts. By allowing the parameters of the models to vary explicitly with the...