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 … and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic …

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

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

simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable …