(positive) jumps in prices leading to significantly higher (lower) future volatility. We show that models exploiting these …

forecasting daily stocks volatility. We consider an HAR model with asymmetric effects with respect to the volatility and the … significant improvement in the point forecasting accuracy as well and the variables related with the U.S stock market performance …

(2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete … jumps are proportional to the bubble size. Thus, the jumps tend to efficiently bring back excess bubble prices close to a … “normal” or fundamental value (“efficient crashes”). This is different from existing processes studied that assume jumps that …

This paper proposes novel approaches to the modeling of attenuation bias effects in volatility forecasting. Our … proposed specifications are able to outperform standard Realized GARCH models in VaR and ES forecasting …

English Abstract: This study evaluates the out-of-sample forecasting accuracy of fifteen symmetrical and asymmetrical … effects and fat-tail, has been investigated in stock market data of 1997-2004. In modeling and forecasting stock market …