Showing 1 - 8 of 8
For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …
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forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …
Persistent link: https://www.econbiz.de/10010259630
The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions … from returns to volatility and co-volatility. …
Persistent link: https://www.econbiz.de/10011536626
The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump variations from … the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible for …
Persistent link: https://www.econbiz.de/10010477100
realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric …
Persistent link: https://www.econbiz.de/10011794277