improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …

the weighting of lagged squared innovations for the estimation of future correlations and volatilities. When we account …

concerns the weighting of lagged squared innovations for the estimation of future correlations and volatilities. When we …

improved volatility measurements but has also inspired research into their potential value as an information source for … volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return … series), of implied volatility (extracted from option pricing data) and of realised volatility (computed as the sum of …