The article explores how using high frequency data can improve predictions in finance. By separating jumps from diffusion, volatility forecasting is enhanced, leading to better portfolio performance. Additionally, strategies that incorporate different components of realized volatility can generate economic benefits. The study also shows that diffusive volatility plays a key role in pricing carry trade returns, while jump volatility is important for explaining momentum returns. Factors like volatility of volatility and cross-sectional volatility are also found to be priced in currency markets.