Duong, Diep; Swanson, Norman R. - 2013
forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in …