uences expected returns and volatility forecasts of individual investors. Via e-mail, we asked a randomly selected group of …

investors perhaps overestimate the volatility of equity returns. Both facts reduce the puzzle. However, data on beliefs about … output volatility (Survey of Professional Forecasters) shows marked overconfidence. On balance, the equity premium is …

We compare the forecasts of Quadratic Variation given by Realized Volatility (RV) and Two Scales Realized Volatility … for the volatility process and assumptions on the noise. We show that TSRV largely outperforms RV, whichever one is …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns. In turn, this so …{called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH …

A non-stationary regression model for financial returns is examined theoretically in this paper.Volatility dynamics are …

identically distributed normal returns, and as consequencedevelop an improved model for non-stationary returns. Therein volatility …