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

autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely …

been widely adopted in the context of volatility forecasting. In this work, we aim to bridge the conceptual gap between … from the previous week, yesterday and the day before, yesterday's volatility makes by far the most contribution to today …'s realized volatility forecast. Moroever, within the previous month, the importance of single weeks diminishes almost linearly …