topological stock market changes as well as the incorporation of these topological changes into forecasting realized volatility … (RV) models to improve their forecast performance during turbulent periods. The results of the empirical experimentation … indicate that the employment of PH information allows nonlinear and neural network models to better forecast RV during a …

Recent contributions highlight the importance of intraday jumps in forecasting realized volatility at horizons up to … importance of considering the continuous/jump decomposition of volatility for the purpose of density forecasting. Specifically … data in forecasting the density of returns. Considering both intra-week periodicity and signed jumps, we estimate two …