With the recent availability of high-frequency financial data the long range dependence of volatility regained … researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of … volatility, however, is usually stated for long sample periods, while for small sample sizes, such as e.g. one year, the …

Realized Volatility. I show that properly accounting for intra-day volatility patterns and staleness sensibly reduces the … decomposition of Realized Volatility, which offer improvements over standard models. From a forecasting perspective, the empirical …