We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns … using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample … implied volatility. We find that implied volatility is an informationally efficient but biased forecast of future realized …

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … in the information set, including implied volatility backed out from option prices. Realized volatility is separated into … its continuous and jump components, and the heterogeneous autoregressive (HAR) model is applied with implied volatility as …

We consider the properties of three estimation methods for integrated volatility, i.e. realized volatility, the Fourier … generating mechanisms for the instantaneous volatility process, e.g. Ornstein-Uhlenbeck, long memory, and jump processes. The … volatility process. However, bid-ask bounce effects render realized volatility and especially the wavelet estimator less useful …

We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed … from high-frequency (5-minute) returns on 30 year Treasury bond futures. Implied volatility is backed out from prices of … associated bond options. Recent nonparametric statistical techniques are used to separate realized volatility into its continuous …