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

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").

Duke Scholars

Author Tim Bollerslev Economics