HAR components in the model improve the point forecasting accuracy while the introduction of asymmetric effects only leads …

, forecasting of the full density for long horizons is feasible, which we pursue. We document variability in conditional variances … over time, which stresses the importance of careful modeling and forecasting of volatility. We show that improved model fit …

changes in the dynamics of the series, for specifying models parsimoniously, and may be helpful in forecasting. We propose the …

We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH … nearly all series. Finally, we carry out a forecasting exercise to evaluate the usefulness of structural break models. …

price variation and jumps. This paper proposes a tobit multivariate factor model for the jumps coupled with a standard …

both the continuous and jump components of volatility in forecasting. This paper considers how to use index level jumps and …Modeling and forecasting realized volatility is of paramount importance. Previous studies have examined the role of … cojumps across index constituents for forecasting index level volatility. In combination with the magnitude of past index …

Modeling and forecasting realized volatility is of paramount importance. Recent econometric developments allow total … of both components in forecasting, little analysis has been undertaken into how best to harness the jump component. This … paper considers how to get the most out of the jump component for the purposes of forecasting total volatility. In …

,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 …

variables. We then provide empirical evidence on small and large jumps from the perspective of their contribution to overall … and Diebold (2007) and Aït-Sahalia and Jacod (2009a,b,c). Evidence of jumps is found in around 22.8% of the days during … role of jumps is lessening, the role of large jumps has not decreased, and indeed, the relative role of large jumps, as a …

,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 …