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 though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

terms of returns and volatility, received much less attention. With the use of an econometric methodology, the paper aims to …

, both in terms of returns and volatility, is still a barren landscape. Using econometric methodology, the paper investigates …

univariate volatility models (including HEAVY and Realized GARCH models), using daily returns from the S&P 500, DJIA, FTSE and …