This study reconsiders the role of jumps for volatility forecasting by showing that jumps have positive and mostly … estimator provides less biased and robust estimates of the continuous quadratic variation and jumps. This technique also … accuracy of volatility forecasts for the S&P500 index, single stocks and US bond yields, especially in periods following the …

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly … in the presence of jumps and provides less biased estimates, with respect to the standard multipower variation, of the … power than tests based on multipower variation. Empirical analysis (on the S&P500 index, individual stocks and US bond …

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly … in the presence of jumps and provides less biased estimates, with respect to the standard multipower variation, of the … power than tests based on multipower variation. Empirical analysis (on the S&P500 index, individual stocks and US bond …

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … exchange and stock markets. Out-of-sample forecasting experiments confirm that implied volatility is important in forecasting …, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …

options appear to be calibrated to incorporate information about future jumps in Treasury bond prices, and hence interest …We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed … from high-frequency (5-minute) returns on 30 year Treasury bond futures. Implied volatility is backed out from prices of …

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … exchange and stock markets. Out-of-sample forecasting experiments confirm that implied volatility is important in forecasting …, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … exchange and stock markets. Out-of-sample forecasting experiments confirm that implied volatility is important in forecasting …, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …

options appear to be calibrated to incorporate information about future jumps in Treasury bond prices, and hence interest …We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed … from high-frequency (5-minute) returns on 30 year Treasury bond futures. Implied volatility is backed out from prices of …