We propose a new framework for modeling and forecasting common financial risks based on (un)reliable realized covariance measures constructed from high-frequency intraday data. Our new approach explicitly incorporates the effect of measurement errors and time-varying attenuation biases into the...

Motivated by the implications from a stylized equilibrium pricing framework, we investigate empirically how individual equity prices respond to continuous, or \smooth," and jumpy, or \rough," market price moves, and how these different market price risks, or betas, are priced in the...

We propose new refined measures of the local covariation between the return on an asset and a risk factor. Our proposed "granular betas" generalize the notion of up- and down-side betas to multi-factor functional measures of covariation. We then show how the resulting granular beta functions may...

We investigate how individual equity prices respond to continuous and jumpy market price moves and how these different market price risks, or betas, are priced in the cross section of expected stock returns. Based on a novel high-frequency data set of almost one thousand stocks over two decades,...

We propose a new decomposition of the traditional market beta into four semibetas depending on the signed covariation between the market and individual asset returns. Consistent with the pricing implications from a mean-semivariance framework, we show that higher semibetas defined by negative...

I provide a selective review of recent developments in financial econometrics related to measuring, modeling, forecasting and pricing “good” and “bad” volatilities based on realized variation type measures constructed from high-frequency intraday data. An especially appealing feature of...

Based on intraday data for a large cross-section of individual stocks and newly developed econometric procedures, we decompose the realized variation for each of the stocks into separate so-called realized up and down semi-variance measures, or “good” and “bad” volatilities, associated...