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• W3192404075 abstract "I provide a selective review of recent developments in financial econometrics related to measuring, modeling, forecasting and pricing “good” and “bad” volatilities based on realized variation type measures constructed from high-frequency intraday data. An especially appealing feature of the different measures concerns the ease with which they may be calculated empirically, merely involving cross-products of signed, or thresholded, high-frequency returns. I begin by considering univariate semivariation measures, followed by multivariate semicovariation and semibeta measures, before briefly discussing even richer partial (co)variation measures. I focus my discussion on practical uses of the measures emphasizing what I consider to be the most noteworthy empirical findings to date pertaining to volatility forecasting and asset pricing" @default.
• W3192404075 created "2021-08-16" @default.
• W3192404075 creator A5015011907 @default.
• W3192404075 date "2021-01-01" @default.
• W3192404075 modified "2023-09-23" @default.
• W3192404075 title "Realized Semi(Co)Variation: Signs that All Volatilities are Not Created Equal" @default.
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• W3192404075 doi "https://doi.org/10.2139/ssrn.3872858" @default.

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