Audrino, Francesco; Hu, Yujia - In: Econometrics : open access journal 4 (2016) 1, pp. 1-24
We provide empirical evidence of volatility forecasting in relation to asymmetries present in the dynamics of both … return and volatility processes. Using recently-developed methodologies to detect jumps from high frequency price data, we … variation. The leverage effect is separated into continuous and discontinuous effects, and past volatility is separated into …