volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev … and Meddahi (2004, 2005), who address the issue of pointwise prediction of volatility via ARMA models, based on the use of … realized volatility. Our approach is to use a realized volatility measure to construct a non parametric (kernel) estimator of …

volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev … and Meddahi (2004, 2005), who address the issue of pointwise prediction of volatility via ARMA models, based on the use of … realized volatility. Our approach is to use a realized volatility measure to construct a non parametric (kernel) estimator of …

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 …