Threshold bipower variation and the impact of jumps on volatility forecasting

DOI10.1016/J.JECONOM.2010.07.008zbMATH Open1441.62656OpenAlexW3124336248MaRDI QIDQ737246FDOQ737246

Authors: Fulvio Corsi, Davide Pirino, Roberto Renò 

Publication date: 10 August 2016

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/4435/1/CorsiPirinoReno_TBV_sub2010.pdf

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zbMATH Keywords

threshold estimationjump detectionfinancial marketsvolatility forecastingvolatility estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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