,b,c) to examine the importance of jumps, and in particular large and small jumps, using high frequency price returns on 25 … stocks in the DOW 30 and S&P futures index. In particular, we examine jumps from both the perspective of their contribution … of jumps in around 22.8% of the days during the 1993-2000 period, and in 9.4% of the days during the 2001-2008 period …

subject to revisions. This makes them an excellent source of information for the macroeconomic forecasting. …

when it comes to long-term forecasting. …

augments the prediction problem by covariate forecasting models. In this paper, we present simple alternatives for multi …

when it comes to long-term forecasting. …

this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ … this type of uncertainty on realized stock-bond correlation and jumps. Our findings reveal that uncertainty …