realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in …

Autoregressive (HAR) class models. Therefore, we propose to model and forecast the realized volatility of the EU ETS futures with HAR … option pricing and conclude that the HAR model is capable of mimicking the long-term volatility structure in the futures … and volatility estimates and forecasts for appropriate risk management, asset allocation and volatility trading. Although …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that …-time forecasts than the HAR-RV model, although no single extended model dominates. In general, standard volatility measures at the …We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in …

In the past decade, the popularity of realized measures and various linear models for volatility forecasting has … practitioners to a specific estimator and model when aiming for the best forecasting accuracy are missing. This paper contributes to … the ongoing debate with a comprehensive evaluation of multiple-step-ahead volatility forecasts of energy markets using …

This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model …