Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …

differences of opinion is left, and hence volatility is decreased. …

differences of opinion is left, and hence volatility is decreased. …

allows us to obtain an estimator of the conditional volatility per time. this kind of volatility estimation solves the …