Template-Type: ReDIF-Paper 1.0
Author-Name: Asai, M.
Author-Name-Last: Asai
Author-Name-First: Manabu
Author-Person: pas73
Author-Name: Gupta, R.
Author-Name-Last: Gupta
Author-Name-First: Rangan
Author-Name: McAleer, M.J.
Author-Name-Last: McAleer
Author-Name-First: Michael
Author-Person: pmc90
Title: The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
Abstract: The paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects. We modify the jump-robust covariance estimator of Koike (2016), 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 daily crude oil and gold futures show that the co-jumps of the two futures have significant impacts on future co-volatility, but that the impact is negligible in forecasting weekly and monthly horizons
Length: 24
Creation-Date: 2019-03-01
File-URL: https://repub.eur.nl/pub/115614/EI2019-16.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI2019-16
Classification-JEL: C32, C33, C58, Q02
Keywords: Commodity Markets, Co-volatility, Forecasting, Jump, Leverage Effects, Realized, Covariance, Threshold Estimation.
Handle: RePEc:ems:eureir:115614