Duong, Diep; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2013
evidence on the predictive content of realized measures of jump power variations (including upside and downside risk, jump … variations help less in the prediction of future realized volatility, than past "small" jump power variations. Additionally, we … find evidence that past realized signed jump power variations, which have not previously been examined in this literature …
