In this paper, we use factor-augmented HAR-type models to predict the daily integrated volatility of asset returns. Our … approach is based on a proposed two-step dimension reduction procedure designed to extract latent common volatility factors …, we apply either LASSO or elastic net shrinkage on estimates of integrated volatility of all constituents in the dataset …

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in … constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose … realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …

Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

The topic of volatility measurement and estimation is central to financial and more generally time series econometrics …. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some … developments in volatility models, with focus on time varying and stochastic volatility as well as nonparametric volatility …

The topic of volatility measurement and estimation is central to financial and more generally time series econometrics …. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some … developments in volatility models, with focus on time varying and stochastic volatility as well as nonparametric volatility …

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in … constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose … nonparametric estimators of the aforementioned quantities, based on model free volatility estimators. We establish consistency and …

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in … constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose … realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …

contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find … individual stocks. -- Itô semi-martingale ; realized volatility ; jumps ; quadratic volatility ; multipower variation ; tripower …