allows us to obtain an estimator of the conditional volatility per time. this kind of volatility estimation solves the … interpret the conditional probability for the occurrence of a price event within a certain time horizon as a risk measure which … including regressors based on a flexible Fourier form based on intraday and time to maaturity seasonalities. Testing for serial …

in relation to different strategies including momentum volatility scaling, risk-based asset allocation, time series … and active management. The paper addresses this direction by introducing the volatility-timed winners approach that … applies past volatilities as a timing predictor to mitigate momentum factor underperformance for time intervals spanning the …

This paper studies predictability of realized volatility of U.S. Treasury futures using high-frequency data for 2-year … higher-order realized moments and allow all model coefficients to be time-varying in order to explore dynamics in forecasting … structure with robust contribution also in out-of-sample analysis for the shorter tenors. Time-varying coefficient models are …