asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

,b,c) to examine the importance of jumps, and in particular large and small jumps, using high frequency price returns on 25 … stocks in the DOW 30 and S&P futures index. In particular, we examine jumps from both the perspective of their contribution … of jumps in around 22.8% of the days during the 1993-2000 period, and in 9.4% of the days during the 2001-2008 period …

variables. We then provide empirical evidence on small and large jumps from the perspective of their contribution to overall … and Diebold (2007) and Aït-Sahalia and Jacod (2009a,b,c). Evidence of jumps is found in around 22.8% of the days during … role of jumps is lessening, the role of large jumps has not decreased, and indeed, the relative role of large jumps, as a …

focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding. …

of point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also …

unconditional distribution of returns. In-sample fitting and out-of-sample realized volatility forecasting demonstrate the strength …