estimation and forecast of financial volatility. The research, chapter by chapter is summarized below. Chapter 1 provides … ; volatility asymmetry ; mixed frequency model ; conditional correlation ; risk evaluation … empirical evidence on univariate realized volatility forecasting in relation to asymmetries present in the dynamics of both …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …