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- W3124605087 abstract "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 the quadratic covariation matrix. Empirical results for three stocks traded on the New York Stock Exchange indicate that the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible for forecasting weekly and monthly horizons." @default.
- W3124605087 created "2021-02-01" @default.
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- W3124605087 date "2015-02-01" @default.
- W3124605087 modified "2023-10-02" @default.
- W3124605087 title "The Impact of Jumps and Leverage in Forecasting Co-Volatility" @default.
- W3124605087 hasPublicationYear "2015" @default.
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