volatility in all three markets, relative to past continuous and jump components, and it is an unbiased forecast in the foreign …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 …

volatility when forecasting subsequently realized return volatility, and it appears to be an unbiased forecast. Furthermore … 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 …

volatility in all three markets, relative to past continuous and jump components, and it is an unbiased forecast in the foreign …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 …

forecast in the bond market. However, implied volatility does contain incremental information about future volatility relative …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 …

in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid … that the long memory property of volatility carries over to returns, we consider a filtered FIEGARCH-in-mean (FIEGARCH …-M) effect in the return equation. The filtering of the volatility-in-mean component thus allows the co-existence of long memory …

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 …

stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in … returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage …