both the continuous and jump components of volatility in forecasting. This paper considers how to use index level jumps and … jumps, the intensity of both index jumps and cojumps are examined. Estimated jump intensity from a point process model is … behaviour. Improvements in forecast performance are particularly apparent on the days when jumps or cojumps occur, or when …

. Previous work has found that jumps at an index level are not related to future volatility. Here we examine the links between co-jumps … common, or co-jumps between the stocks are unrelated to the level of volatility or correlation. On the other hand, both … volatility and correlation are lower subsequent to a co-jump. This indicates that co-jumps are a transient event but in contrast …

. Previous work has found that jumps at an index level are not related to future volatility. Here we examine the links between co-jumps … common, or co-jumps between the stocks are unrelated to the level of volatility or correlation. On the other hand, both … volatility and correlation are lower subsequent to a co-jump. This indicates that co-jumps are a transient event but in contrast …

incremental information relative to model based forecasts pertaining to future jumps. It is found that the VIX index both subsumes …

combination with the magnitude of past jumps, the intensity of jump occurrence is examined. Estimated jump intensity from a point … apparent on the days when jumps occur or when markets are turbulent. Overall, the best way to harness the jump component for …