Average idiosyncratic volatility and firm idiosyncratic volatility increase with the number of listed firms. Average … industry idiosyncratic volatility increases with the number of listed firms in the industry. We ex-plain the relation between … idiosyncratic volatility and the number of listed firms through Schumpeterian creative destruction. We show that Schumpeterian …

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

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 …

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 …