intra-day basis, has spurred numerous theoretical advances in the areas of volatility/risk estimation and modeling. In this … paper, we discuss key such advances, beginning with a survey of numerous nonparametric estimators of integrated volatility … useful information for modeling variables such as returns and volatility in another sector. As an illustration of the methods …

This paper proposes a novel decomposition of realized volatility (RV) into moderate and extreme realized volatility … estimates. These estimates behave like long and short term components of volatility, and are very different from either realized … semi-variance or the continuous and jump components of volatility. Within the standard linear HAR framework, a forecast …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Carefully modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility …

proxy for σ2t. We show that some commonly used criteria for evaluation of volatility models, may induce a different … provide an additional argument for using intra-day data to approximate σ2t , such as realized volatility. …

; extreme value theory ; bootstrapping …

extreme value theory. The out-of-sample forecasting performance of our methods turns out to be clearly superior to different … management ; extreme value theory ; monotonization ; CAViaR …