Zhang, Yaojie; Wang, Yudong; Ma, Feng; Wei, Yu - In: Financial innovation : FIN 8 (2022), pp. 1-31
jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … of robustness tests, including different jump measures, alternative volatility measures, various financial markets, and … price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the …