This paper studies measurement errors that subtract signal from true variables of interest, labeled lack of signal errors (LoSE). The effect on OLS regression of LoSE is opposite the conventional wisdom about classical measurement errors, with LoSE in the dependent variable, not the explanatory...

Despite their effectiveness, linear models for realized variance neglect measurement errors on integrated variance and exhibit several forms of misspecification due to the inherent nonlinear dynamics of volatility. We propose new extensions of the popular approximate long-memory HAR model apt to...

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility forecasting accuracy. Additionally, we explore the...