-form volatility modeling and forecasting as well as testing for the presence of jumps. …

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 …

. 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 …

The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over …

This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous … estimators. This combined effect adversely affects forecasting. To account for this, we propose a periodicity-adjusted model …

This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous … estimators. This combined effect adversely affects forecasting. To account for this, we propose a periodicity-adjusted model …

estimation. In the application, we show the regularity in parameter estimates and forecasting performance obtainable by applying …