Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
DOI10.1016/J.JECONOM.2015.02.042zbMATH Open1337.62325OpenAlexW3125961143MaRDI QIDQ2347737FDOQ2347737
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
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realized volatilitymarket microstructuredownside riskjump testvolatility forecastsjump power variationssemivariances
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Asymptotic properties of realized power variations and related functionals of semimartingales
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- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Modeling and Forecasting Realized Volatility
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Testing for jumps in a discretely observed process
- Estimating the degree of activity of jumps in high frequency data
- Power Variation and Time Change
- Limit theorems for moving averages of discretized processes plus noise
- Moments of Markov switching models
- 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
- Predictive Inference for Integrated Volatility
- Activity signature functions for high-frequency data analysis
- Measuring downside risk -- realized semivariance
- Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
- Modelling and forecasting noisy realized volatility
- Spot volatility estimation for high-frequency data
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method
- Estimating spot volatility with high-frequency financial data
- Volatility in discrete and continuous-time models: a survey with new evidence on large and small jumps
Cited In (10)
- 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
- Econometric analysis of financial derivatives: an overview
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