Template-Type: ReDIF-Paper 1.0
Author-Name: Asai, M.
Author-Name-Last: Asai
Author-Name-First: Manabu
Author-Person: pas73
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 Co-Volatility
Abstract: __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.
Length: 22
Creation-Date: 2015-02-01
File-URL: https://repub.eur.nl/pub/78068/EI2015-06.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2015-06
Classification-JEL: C32, C53, C58, G17
Keywords: Co-Volatility, Forecasting, Jump, Leverage Effects, Realized Covariance, Threshold, Estimation.
Handle: RePEc:ems:eureir:78068