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~isPartOf:"FRBSF Economic Letter"
~isPartOf:"Journal of business economics : JBE"
~isPartOf:"Tinbergen Institute Discussion Papers"
~person:"Asai, Manabu"
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Asai, Manabu
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The Impact of Jumps and Leverage in
Forecasting
Co-Volatility
Asai, Manabu
;
McAleer, Michael
-
Tinbergen Instituut
-
2015
The paper investigates the impact of jumps in
forecasting
co-volatility, accommodating leverage effects. We modify the …
forecasting
weekly and monthly horizons. …
Persistent link: https://www.econbiz.de/10011257254
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