Yu, Bo; Mizrach, Bruce Marshall; Swanson, Norman R. - In: Econometrics : open access journal 8 (2020) 2/19, pp. 1-52
We investigate the marginal predictive content of small versus large jump variation, when forecasting one …-week-ahead cross-sectional equity returns, building on Bollerslev et al. (2020). We find that sorting on signed small jump variation ….e., high-low spreads) than when either signed total jump or signed large jump variation is sorted on. It is shown that the …