realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …

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 …-run dynamics. We derive the asymptotic distribution theory for the FDLS estimator of the cointegration vector in the stationary …

with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite …