Puzzling deviations from the predictions of rational finance theory have been extensively documented empirically. In … this paper, we offer an explanation for one of these anomalies, the “excess volatility puzzle”, i.e. the observation that … inefficient) excess component. The endogenously induced excess volatility is found to be substantial, largely stable at longer …

-Estimator whose inputs (period used for local volatility calculation and confidence level used for jump detection) were also optimized …

of asset-return volatility, in the context of financial risk management using high frequency data. In our evaluation we … use both statistical criteria (i.e., accuracy of directional volatility predictions) and economic criteria (i … contemporaneous return-volatility relationship and leads to new insights related to linkages between economic and statistical methods …

of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much …

volatility (RV) measures. The absolute difference between daily and monthly RV is shown to be proportional to the relative …

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in … constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose … realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …

When estimating and forecasting realized volatility in the presence of jumps, a form of bias-variance tradeoff is …