We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that vary by sector, volume and degree of jump activity. We use...

This paper proposes a cluster HAR-type model that adopts the hierarchical clustering technique to form the cascade of heterogeneous volatility components. In contrast to the conventional HAR-type models, the proposed cluster models are based on the relevant lagged volatilities selected by the...

This paper attempts to reveal the impact of the right jump tail on the dynamics and term structures of volatility-of-volatility (VVIX) and variance-of-variance risk premium (VVRP) based on the VIX index while examining the return predictability implicit in the VIX market. In a simulation study...

This paper proposes a robust framework for disentangling undiversifiable common jumps within the realized covariance matrix. Simultaneous jumps detected in our empirical study are strongly related to major financial and economic news, and their occurrence raises correlation and persistence among...