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Título:
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The Impact of Jumps and Leverage in Forecasting Co-Volatility
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Autores:
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Asai, Manabu ;
McAleer, Michael
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Tipo de documento:
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texto impreso
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Fecha de publicación:
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2015-02
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc_sa
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = No publicado
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Materia = Ciencias Sociales: Economía: Econometría
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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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.
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En línea:
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https://eprints.ucm.es/id/eprint/28343/1/1502.pdf
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