Arbeitspapier
The Impact of Jumps and Leverage in Forecasting Co-Volatility
The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013)such that the estimated matrix is positive definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump variations from the quadratic covariation matrix. Empirical results for three stocks traded on the New York Stock Exchange indicate that the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible for forecasting weekly and monthly horizons.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 15-018/III
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
Financial Econometrics
Financial Forecasting and Simulation
- Thema
-
Co-Volatility
Forecasting
Jump
Leverage Effects
Realized Covariance
Threshold
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Asai, Manabu
McAleer, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Asai, Manabu
- McAleer, Michael
- Tinbergen Institute
Entstanden
- 2015
Ähnliche Objekte (12)
Asymmetry and leverage in conditional volatility models
Asymmetry and Leverage in Conditional Volatility Models
Forecasting the Volatility of Nikkei 225 Futures
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Forecasting Realized Volatility with Linear and Nonlinear Models
Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Estimating and forecasting generalized fractional long memory stochastic volatility models
Realized volatility: a review
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
A Simple Test for Causality in Volatility
A Fractionally Integrated Wishart Stochastic Volatility Model
Asymmetry and leverage in conditional volatility models
Asymmetry and Leverage in Conditional Volatility Models
Forecasting the Volatility of Nikkei 225 Futures
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Forecasting Realized Volatility with Linear and Nonlinear Models
Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Estimating and forecasting generalized fractional long memory stochastic volatility models
Realized volatility: a review
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
A Simple Test for Causality in Volatility
A Fractionally Integrated Wishart Stochastic Volatility Model
Asymmetry and leverage in conditional volatility models
Asymmetry and Leverage in Conditional Volatility Models
Forecasting the Volatility of Nikkei 225 Futures
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Forecasting Realized Volatility with Linear and Nonlinear Models
Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Estimating and forecasting generalized fractional long memory stochastic volatility models
Realized volatility: a review
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
A Simple Test for Causality in Volatility