This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new …

The log realized volatility (RV) is often modeled as an autoregressive fractionally integrated moving average model …

This paper contributes to an ongoing debate on volatility dynamics. We introduce a discrete-time fractional stochastic … volatility (FSV) model based on the fractional Gaussian noise. The new model has the same limit as the fractional integrated … stochastic volatility (FISV) model under the in-fill asymptotic scheme. We study the theoretical properties of both models and …

observations. In the first stage we make use of the feasible central limit theory for realized volatility, as developed in Jacod …