Realized volatility of financial time series generally shows a slow-moving average level from the early 2000s to recent times, with alternating periods of turmoil and quiet. Modeling such a pattern has been variously tackled in the literature with solutions spanning from long-memory, Markov...

In this paper we discuss some deep implications of the recent paper by Bollerslev et al. (2016) (BPQ). In BPQ the volatility dynamics modeled as a HAR is augmented by a term involving quarticity in order to correct measurement errors in realized variance. We show that the model is...