degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

We analyse the importance of jumps and the leverage effect on forecasts of realized volatility in a large cross … widely employed empirical models for realized volatility that allow for jumps and leverage. Our out-of-sample forecast … evaluation results show that the separation of realized volatility into a continuous and a discontinuous (jump) component is …

price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …