This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and discontinuous component using estimators which are not...

Thresholded Realized Power Variations (TPVs) are one of the most popular nonparametric estimators for general continuous-time processes with a wide range of applications. In spite of their popularity, a common drawback lies in the necessity of choosing a suitable threshold for the estimator, an...

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is correctly separated into its continuous and discontinuous component. To this purpose, we...

In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility. In this paper, with the use of Thailand’s SET50...

The Half-Half (HH) plot is a new graphical method to investigate qualitatively the shape of a regression curve. The empirical HH-plot counts observations in the lower and upper quarter of a strip that moves horizontally over the scatter plot. The plot displays jumps clearly and reveals further...

Memory properties of financial assets are investigated. Using Detrended Fluctuation Analysis we show that the long memory detection in volatility is affected by the presence of jumps, realized volatility being a biased volatility proxy. We propose threshold bipower variation as an alternative...

The publication of a projected path of future policy decisions by central banks is a controversially debated method to improve monetary policy guidance. This paper suggests a new approach to evaluate the impact of the guidance strategy on the predictability of monetary policy. Using the example...

We establish estimation methods to determine co-jumps in multivariate high-frequency data with nonsynchronous observations and market microstructure noise. The ex-post quadratic covariation of the signal part, which is modeled by an Itˆo-semimartingale, is estimated with a locally adaptive...

We propose and implement an empirical automatic bias correction (ABC) procedure for correcting the downward bias in the volatility estimators that utilize extreme value of asset prices. The bias originates from the random walk effect. The proposed estimator does not require knowledge of N, the...