We introduce an approximate dynamic factor model for modeling and forecasting large panels of realized volatilities. Since the model is estimated by means of principal components and low dimensional maximum likelihood, it does not suffer from the curse of dimensionality. We apply the model to a...

Using density forecast evaluation techniques we compare the predictive performance of econometric specifications that have been developed for modeling duration processes in intra-day financial markets. The model portfolio encompasses various variants of the Autoregressive Conditional Duration...