benchmark, we find some evidence that more sophisticated realized measures significantly outperform 5-minute RV.  In forecasting …

series, there is no clear consensus regarding the forecasting abilities of these models. In this paper we develop a general … approach to predict multiple time series subject to Markovian shifts in the regime. The feasibility of the proposed forecasting …

High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps.  One of the … estimates time-varying volatility robustly to jumps.  We improve the scope and efficiency of multipower variation by the use of …

Financial assets` quoted prices normally change through frequent revisions, or jumps. For markets where quotes are …, to the number of other jumps. Many markets exhibit a lack of autocorrelation in their quotes` alternation pattern. Under … quite general no leverage assumptions, whenever this is so the proposed statistic is consistent as the intensity of jumps …

jumps become very frequent and small. Feasible limit theory is developed, and in simulations works well. …

inflation forecasting.  The model generalises to unobserved component models where Gaussian shocks are replaced by martingale …

of sample forecasting performance to the end of 2007 is examined.  Aggregating the weighted sub-component forecasts … indicates gains are made over forecasting the overall index using these methods, and also substantial gains over forecasting … policy, regulatory information and announced administred price rises, should further enhance these forecasting methods. …