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The impact of jumps and leverage in forecasting covolatility

Published:2017-04-21 Issue:6-9 Volume:36 Page:638-650
ISSN:0747-4938
Container-title:Econometric Reviews
language:en
Short-container-title:Econometric Reviews

Author:

Asai Manabu¹,McAleer Michael²³⁴⁵

Affiliation:

1. Faculty of Economics, Soka University, Hachioji, Tokyo, Japan

2. Department of Quantitative Finance, National Tsing Hua University, Hsinchu, Taiwan

3. Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, Rotterdam, The Netherlands

4. Department of Quantitative Economics, Complutense University of Madrid, Madrid, Spain

5. Institute of Advanced Sciences, Yokohama National University, Yokohama, Japan

Funder

Japan Ministry of Education, Culture, Sports, Science and Technology, Japan Society for the Promotion of Science (JSPS KAKENHI)

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/07474938.2017.1307326

Reference34 articles.

1. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

2. Testing for jumps in noisy high frequency data

3. An Empirical Investigation of Continuous-Time Equity Return Models

4. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

5. Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

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