Souček, Michael; Todorova, Neda - In: Economics Letters 122 (2014) 2, pp. 111-115
This paper is the first to employ a multivariate extension of the LHAR–CJ model for realized volatility of Corsi and Renó (2012) considering continuous and jump volatility components and leverage effects. The model is applied to financial (S&P 500), commodity (WTI crude oil) and forex...