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 …

Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the … assumptions of jumps in prices and leverage effects for volatility. Findings suggest that daily-data models are preferred to HF …

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumping …

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 … threshold bipower variation measures. Incorporating signed finite and infinite jumps generates significantly better real …

of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures … outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the … Cholesky MSV model with long memory and asymmetry shows stable and better forecasting performance for one-day, five-day and ten …

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible for … forecasting weekly and monthly horizons. …

coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of …