Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we …-type models and (2) we price equity volatility risk using factors which go beyond the equity class. These are volatility factors …

We estimate MIDAS regressions with various (bi)power variations to predict future volatility measured via increments in …

We propose a general GARCH framework that allows the predict volatility using returns sampled at a higher frequency …-GARCH models, as the volatility dynamics are driven by what we call HYBRID processes. The HYBRID processes can involve data sampled … volatility are less preferred than HYBRID involving intra-daily weighting scheme even for longer horizons …

broadly, our study dispels the notion that volatility is not forecastable at long horizons and offers an approach that …

transaction durations and vice versa. Otherwise the spacings between trades are considered exogenous to the volatility dynamics … causality between volatility and intra-trade durations. Under general conditions we propose several GMM estimation procedures … that volatility of IBM stock prices Granger causes intra-trade durations. We also find that the persistence in GARCH drops …