Sévi, Benoît - In: European Journal of Operational Research 235 (2014) 3, pp. 643-659
We use the information in intraday data to forecast the volatility of crude oil at a horizon of 1–66days using a variety of models relying on the decomposition of realized variance in its positive or negative (semivariances) part and its continuous or discontinuous part (jumps). We show the...