We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional cointegration, allowing derivation of useful long-run relations even among stationary processes. The approach is due to Robinson (1994, Annals of Statistics 22, 515-539) and uses...

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the...