The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions … from returns to volatility and co-volatility. …

The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources … intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of … intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy …

average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …