high-frequency data better and produce more accurate forecasts than competing realized volatility and option …

We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box …

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies … computationally attractive and feasible for large dimensions. We demonstrate its strong predictive potential for financial volatility …

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …

No consensus has emerged on how to deal with overnight returns when calculating realized volatility in markets where … trading does not take place 24 hours a day. This paper explores several common volatility applications, investigating how the … chosen treatment of overnight returns affects the results. For example, the selection of the best volatility forecasting …