Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2015
The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … jump-robust two time scale covariance estimator of Boudt and Zhang (2013) such that the estimated matrix is positive … definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump variations from …