forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …

The volatility of US business cycles has declined during the last two decades. During the same period the financial … volatility of output together with a higher volatility in the financial structure of firms …