Volatility Forecasting: The Jumps Do Matter
Year of publication: |
2009-03
|
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Authors: | Corsi, Fulvio ; Pirino, Davide ; Reno, Roberto |
Institutions: | Institute of Economic Research, Hitotsubashi University |
Subject: | volatility forecasting | jumps | bipower variation | threshold estimation | stock | bond |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | G1 - General Financial Markets ; C1 - Econometric and Statistical Methods: General ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications |
Source: |
-
Volatility forecasting: the jumps do matter
Corsi, Fulvio, (2008)
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Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio, (2010)
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Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting
Corsi, Fulvio, (2010)
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Threshold bipower variation and the impact of jumps on volatility forecasting
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Nonparametric Stochastic Volatility
Bandi, Federico M., (2009)
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Volatility forecasting : the jumps do matter
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