Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

DOI10.1016/J.JECONOM.2015.02.042MaRDI QIDQ2347737zbMATH OpenOpenAlexFDO

Authors Diep Duong, Norman R. Swanson

Publication date 8 June 2015

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2015.02.042

zbMATH Keywords

realized volatilitymarket microstructuredownside riskjump testvolatility forecastsjump power variationssemivariances

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Activity signature functions for high-frequency data analysis
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Estimating spot volatility with high-frequency financial data
• Estimating the degree of activity of jumps in high frequency data
• Limit theorems for moving averages of discretized processes plus noise
• Measuring downside risk -- realized semivariance
• Modeling and Forecasting Realized Volatility
• Modeling volatility persistence of speculative returns: a new approach
• Modelling and forecasting noisy realized volatility
• Moments of Markov switching models
• Power Variation and Time Change
• Predictive Inference for Integrated Volatility
• Predictive density estimators for daily volatility based on the use of realized measures
• Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method
• Spot volatility estimation for high-frequency data
• Testing for jumps in a discretely observed process
• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• The Distribution of Realized Exchange Rate Volatility
• Threshold bipower variation and the impact of jumps on volatility forecasting
• Volatility in discrete and continuous-time models: a survey with new evidence on large and small jumps

Cited in

(10)

• Econometric analysis of financial derivatives: an overview
• Jumps beyond the realms of cricket: India's performance in one day internationals and stock market movements
• A generalized heterogeneous autoregressive model using market information
• Volatility in discrete and continuous-time models: a survey with new evidence on large and small jumps
• Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
• Transaction activity and bitcoin realized volatility
• Financial modelling, risk management of energy instruments and the role of cryptocurrencies
• Research on the forecasting performance of the HAR-type model based on true and false jumps
• The contribution of intraday jumps to forecasting the density of returns
• Threshold bipower variation and the impact of jumps on volatility forecasting

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