in asset pricing, risk forecasting, and for explaining the aggregate trading volume of S&P 500 firms …

asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

in applications that involve forecasts of latent target variables. Such applications include the forecasting of … application to correlation forecasting is presented …

HAR and GARCH models across various forecasting horizons …

of the point-forecasting model. Moreover, linear (nonlinear) model-based point forecasts perform worse (marginally better … predict "pseudo true" volatility densities for specific magnitudes of "price jumps" and "microstructure noise" in the price …

-parametrically estimated components of quadratic variation, as well as mixed frequency macroeconomic variables. When forecasting growth rates …

related to the FloGARCH models in terms of in-sample fit, out-of-sample fit and forecasting accuracy compared to classical and …