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Forecasting Realized Volatility: The Role of Implied Volatility, Leverage Effect, Overnight Returns, and Volatility of Realized Volatility [PDF]
Journal of Futures Markets, 2021 We forecast realized volatility extending the heterogeneous autoregressive model (HAR) to include implied volatility (IV), the leverage effect, overnight returns, and the volatility of realized volatility.
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A Note on Investor Happiness and the Predictability of Realized Volatility of Gold
Finance Research Letters, 2021Rangan Gupta +2 more
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Forecasting Realized Gold Volatility: Is There a Role of Geopolitical Risks?
Finance Research Letters, 2020Rangan Gupta +2 more
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The Distribution of Realized Exchange Rate Volatility
Journal of the American Statistical Association, 2001Tim Bollerslev +2 more
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Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models
Journal of the Royal Statistical Society Series B: Statistical Methodology, 2002Neil Shephard, Ole E. Barndorff-Nielsen
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Realizing Smiles: Options Pricing With Realized Volatility
Journal of Financial Economics, 2013Fulvio Corsi
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