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

DOI10.1016/j.jeconom.2015.02.042zbMath1337.62325OpenAlexW3125961143MaRDI QIDQ2347737

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

market microstructuredownside riskrealized volatilityjump testvolatility forecastsjump power variationssemivariances

Mathematics Subject Classification ID

Related Items (7)

Jumps beyond the realms of cricket: India's performance in One Day Internationals and stock market movements ⋮ Financial modelling, risk management of energy instruments and the role of cryptocurrencies ⋮ A generalized heterogeneous autoregressive model using market information ⋮ The contribution of intraday jumps to forecasting the density of returns ⋮ Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data ⋮ Transaction activity and bitcoin realized volatility ⋮ Econometric analysis of financial derivatives: an overview

Cites Work

• Unnamed Item
• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• Predictive density estimators for daily volatility based on the use of realized measures
• Modelling and forecasting noisy realized volatility
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
• Spot volatility estimation for high-frequency data
• Threshold bipower variation and the impact of jumps on volatility forecasting
• Estimating the degree of activity of jumps in high frequency data
• Limit theorems for moving averages of discretized processes plus noise
• Testing for jumps in a discretely observed process
• Modeling volatility persistence of speculative returns: a new approach
• Moments of Markov switching models
• Estimating spot volatility with high-frequency financial data
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Activity signature functions for high-frequency data analysis
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method
• Predictive Inference for Integrated Volatility
• Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• The Distribution of Realized Exchange Rate Volatility
• Power Variation and Time Change
• Modeling and Forecasting Realized Volatility
• Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities

This page was built for publication: Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction