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

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 …

This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new …

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …

is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for … relationship is nonlinear. Volatility feedback impacts the whole distribution and not just the conditional mean …

time series ; semiparametric model ; k-NN estimation ; local polynomial regression ; volatility forecasting …

Following recent advances in the non-parametric realized volatility approach, we separately measure the discontinuous … volatility models. We analyze the distributional properties of the jump measures vis-à-vis the corresponding realized volatility … accuracy of high-frequency volatility models …