prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …

Ding, Granger and Engle (1993) and Ding and Granger (1996). Our prediction experiments use high frequency price returns … variations help less in the prediction of future realized volatility, than past "small" jump power variations. Additionally, we …, are strongly correlated with future volatility, and that past downside jump variations matter in prediction. Finally …

one lag of quarterly realized volatility with an in-sample estimation period of between and sixty and eighty quarters …The last decade has seen substantial advances in the measurement, modeling and forecasting of volatility which has … centered around the realized volatility literature. To date, most of the focus has been on the daily and monthly frequency …

daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … heterogeneous autoregressive and other models of realized volatility. …

We analyze the impact of the estimation frequency - updating parameter estimates on a daily, weekly, monthly or … returns for constituents of the S&P 500 index. We assess the implication for one-day ahead 95% and 99% Value-at-Risk (VaR …

We analyze the impact of the estimation frequency - updating parameter estimates on a daily, weekly, monthly or … returns for constituents of the S&P 500 index. We assess the implication for one-day ahead 95% and 99% Value-at-Risk (VaR …

the proposed volatility process has a realized GARCH structure with an asymmetric effect on log-returns. To further …This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial … data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility of …

quadratic loss between actual returns and ES forecasts, for the majority of the indices considered for the 10-day and 20-day … forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

-run equilibrium relationships among ten major cryptocurrencies by applying two different cointegration tests. This analysis aims at … volatility and the spread used for trading. The results of the trading strategies suggest that cointegrated portfolios based on … the Johansen procedure generate the highest abnormal log-returns, both in-sample and out-of-sample. Five out of six …