We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than … focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting … functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized …

We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than … focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting … functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized …

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … regarding improved volatility estimation methods"--National Bureau of Economic Research web site … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross …