(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation

Torben G. Andersen (), Tim Bollerslev (), Francis Diebold () and Paul Labys

New York University, Leonard N. Stern School Finance Department Working Paper Seires from New York University, Leonard N. Stern School of Business-

Abstract: We review and synthesize our recent work on realized volatility in financial markets. This includes (1) constructing and interpreting realized volatilities for a variety of asset returns ("understanding"), (2) determining underlying sampling frequencies high enough to produce precise estimates yet low enough to mitigate microstructure bias ("optimizing"), (3) putting realized volatilities to work in various contexts, such as the production of standardized returns series with desirable properties ("using"), and (4) using predictions of realized volatility for improved financial risk management ("forecasting").

Date: 1999-10-26
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Persistent link: http://EconPapers.repec.org/RePEc:fth:nystfi:99-061

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