assumptions of jumps in prices and leverage effects for volatility. Findings suggest that daily-data models are preferred to HF …Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from …

This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also … provides consistent estimators of other powers of volatility in particular, it gives feasible ways to consistently estimate the … asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possess an intuitive …