Open Access

Eugen Heine

• Although volatility is essential for many applications in finance, it is generally an unobservable process with no universal definition. Through association with integrated variance, a multitude of non-parametric volatility estimators collectively referred to as realized measures was proposed. The topic of this cumulative dissertation is modeling time series of realized measures with a special focus on forecasting. Currently, most popular univariate models are basically restricted linear regressions with some economic argumentation, whereas multivariate methods usually face complex unresolved numerical and theoretical issues. Chapters 2 and 3 propose alternative approaches to modeling univariate realized measures from two different perspectives, distributional with copulas and non-parametric with B-splines, respectively. Chapter 4 introduces a novel factor-based approach to modeling multivariate realized measures. All proposed methods are discussed theoretically and compared toAlthough volatility is essential for many applications in finance, it is generally an unobservable process with no universal definition. Through association with integrated variance, a multitude of non-parametric volatility estimators collectively referred to as realized measures was proposed. The topic of this cumulative dissertation is modeling time series of realized measures with a special focus on forecasting. Currently, most popular univariate models are basically restricted linear regressions with some economic argumentation, whereas multivariate methods usually face complex unresolved numerical and theoretical issues. Chapters 2 and 3 propose alternative approaches to modeling univariate realized measures from two different perspectives, distributional with copulas and non-parametric with B-splines, respectively. Chapter 4 introduces a novel factor-based approach to modeling multivariate realized measures. All proposed methods are discussed theoretically and compared to respective benchmarks within corresponding extensive empirical studies.…