The impact of jumps and leverage in forecasting covolatility
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Publication:5864641
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Cites work
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- Alternative models for stock price dynamics.
- Covariance regularization by thresholding
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Estimating covariation: Epps effect, microstructure noise
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Jump robust two time scale covariance estimation and realized volatility budgets
- Large volatility matrix inference via combining low-frequency and high-frequency approaches
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- On covariance estimation of non-synchronously observed diffusion processes
- Post-'87 crash fears in the S\&P 500 futures option market
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Regularized estimation of large covariance matrices
- Testing for jumps in noisy high frequency data
- Threshold bipower variation and the impact of jumps on volatility forecasting
Cited in
(5)- Realized stochastic volatility with general asymmetry and long memory
- The contribution of intraday jumps to forecasting the density of returns
- Econometric Reviews honors Esfandiar Maasoumi
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Leverage as a predictor for real activity and volatility
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