tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

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 relationships in detail. Among other things, we show that: (a) Volatility dependence produces sign dependence, so long … as expected returns are nonzero, so that one should expect sign dependence, given the overwhelming evidence of volatility … of sign dependence and volatility dependence; (c) Sign dependence is not likely to be found via analysis of sign …

inflation process is well described by an unobserved component trend-cycle model with stochastic volatility or, equivalently, an …

interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model …