highlight the importance of the jump component in forecasting the volatility at different horizons. In this paper, we extend the … methodology developed by Maheu and McCurdy (2011) to measure the information content of intraday data in forecasting the density … of returns at horizons up to sixty days. We extract jumps as in Andersen, Bollerslev, Frederiksen and Nielsen (2010) to …

This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a … data for a wide range of specifications. In order to explain this poor performance, we use a forecasting error decomposition …

futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on …