allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a … provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use … of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation …

Mots-clés de l'auteur: Return Predictability ; Return Seasonality ; Asset Pricing Anomalies ; Intraday Returns …