investment horizons. Results suggest that understanding jumps and co-jumps is important for forecasting the covariance and the … time series econometrics and economic forecasting during the recent decades. Current financial crisis have shown that … into several investment horizons. Our estimator is moreover able to separate individual jumps, co-jumps and true …

the first-order asymptotic validity of this method in the multivariate context with a potential presence of jumps …

of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized … volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based … on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility …

highlight the importance of the jump component in forecasting the volatility at different horizons. In this paper, we extend the … methodology developed by Maheu and McCurdy (2011) to measure the information content of intraday data in forecasting the density … of returns at horizons up to sixty days. We extract jumps as in Andersen, Bollerslev, Frederiksen and Nielsen (2010) to …

highlight the importance of the jump component in forecasting the volatility at different horizons. In this paper, we extend the … methodology developed by Maheu and McCurdy (2011) to measure the information content of intraday data in forecasting the density … of returns at horizons up to sixty days. We extract jumps as in Andersen, Bollerslev, Frederiksen and Nielsen (2010) to …

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … an additional forecasting variable. A vector HAR (VecHAR) model for the resulting simultaneous system is introduced … exchange and stock markets. Out-of-sample forecasting experiments confirm that implied volatility is important in forecasting …

sample path and jump components, thus enhancing forecasting performance. We generalize the heterogeneous autoregressive (HAR …) model to include implied volatility as an additional regressor, and to the separate forecasting of the realized components … endogeneity of implied volatility in the forecasting equations. We show that implied volatility is a biased and inefficient …

. Previous work has found that jumps at an index level are not related to future volatility. Here we examine the links between co-jumps … common, or co-jumps between the stocks are unrelated to the level of volatility or correlation. On the other hand, both … volatility and correlation are lower subsequent to a co-jump. This indicates that co-jumps are a transient event but in contrast …

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … an additional forecasting variable. A vector HAR (VecHAR) model for the resulting simultaneous system is introduced … exchange and stock markets. Out-of-sample forecasting experiments confirm that implied volatility is important in forecasting …

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … an additional forecasting variable. A vector HAR (VecHAR) model for the resulting simultaneous system is introduced … exchange and stock markets. Out-of-sample forecasting experiments confirm that implied volatility is important in forecasting …