In this note, we consider the large and moderate deviation principle of the estimators of the integrated covariance of two-dimensional diffusion processes when they are observed only at discrete times in a synchronous manner. The proof is extremely simple. It is essentially an application of the...

This paper is the first to employ a multivariate extension of the LHAR–CJ model for realized volatility of Corsi and Renó (2012) considering continuous and jump volatility components and leverage effects. The model is applied to financial (S&P 500), commodity (WTI crude oil) and forex...

This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility. These include the traditional econometric approach of...

In this paper, we first provide an empirical evidence of the existence of intraday jumps in the crude oil price series. We then show that these jumps, in conjunction with realized volatility measures, are important in modeling the convenience yield over the 2001–2010 period. Our empirical...

Innovating from Chan and Fong (2000), this paper decomposes order imbalance into foreign and domestic order imbalances. Foreign and domestic order imbalances significantly affect the daily variation of returns in the Indonesian Market. The impact of foreign order imbalance is more pronounced in...

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large 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...

Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....

We develop an infinite-order extension of the HAR-RV model, denoted by HAR(∞). We show that the autocorrelation function of the model is algebraically decreasing and thus the model is a long-memory model if and only if the HAR coefficients decrease exponentially. For a finite sample, a...

In this paper, taking about 7 years’ high-frequency data of the Shanghai Stock Exchange Composite Index (SSEC) as an example, we propose a daily volatility measure based on the multifractal spectrum of the high-frequency price variability within a trading day. An ARFIMA model is used to...

In most previous works on forecasting oil market volatility, squared daily returns were taken as the proxy of unobserved actual volatility. However, as demonstrated by Andersen and Bollerslev (1998) [22], this proxy with too high measurement noise could be perfectly outperformed by a so-called...