Realized volatility of stock returns is often decomposed into two distinct components that are attributed to continuous price variation and jumps. This paper proposes a tobit multivariate factor model for the jumps coupled with a standard multivariate factor model for the continuous sample path...

In this paper, we address the question of which subset of time series should be selected among a given set in order to forecast another series. We evaluate the quality of the forecasts in terms of Mean Squared Error. We propose a family of criteria to estimate the optimal subset. Consistency...