We introduce Generalized Autoregressive Gamma (GARG) processes, a class of autoregressive and moving average processes which extends the class of existing Autoregressive Gamma (ARG) processes in one important dimension: each conditional moment dynamic is driven by a different moving average of...

This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values. We fi nd...

Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we...