The availability of intraday data on the prices of speculative assets means that we can use
quadratic variation-like measures of activity in financial markets, called realized volatility, to …

A growing literature documents important gains in asset return volatility forecasting via use
of realized variation measures constructed from high-frequency returns. We progress by …

In this paper, we propose a robust methodology to assess the value of microblogging data to
forecast stock market variables: returns, volatility and trading volume of diverse indices and …

Recent work suggests that intradaily returns can be used to construct estimates of daily
return volatility that are more precise than those constructed using daily returns. We …

The increasing availability of financial market data at intraday frequencies has not only led to
the development of improved volatility measurements but has also inspired research into …

This book shows how current and recent market prices convey information about the
probability distributions that govern future prices. Moving beyond purely theoretical models …

Stochastic volatility is the main concept used in the fields of financial economics and
mathematical finance to deal with time-varying volatility in financial markets. This book …

In this paper, we compare the performance of a daily ARCH type model (which uses daily
returns) with the performance of a model based on the daily realized volatility (which uses …

Publisher Summary This chapter provides a unified continuous-time, frictionless, no-
arbitrage framework for systematically categorizing the various volatility concepts …

In recent years, with the availability of high-frequency financial market data modeling
realized volatility has become a new and innovative research direction. The construction of …