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 … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from …

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many … limitations. HF data feature microstructure problem, such as the discreteness of the data, the properties of the trading mechanism …

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of …

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and …

- and out-of-sample, using predictive variables such as the dividend yield or the volatility risk premium …