closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new … directions. First, the realized variance is a much better estimate of the latent volatility than the sum of the weighted daily … squared returns. As such it is better suited for comparing the out-of-sample performances of competing volatility models …

alleviating finite sample biases arising from the pronounced intraday volatility pattern which afflict alternative jump …