Forecasting the variance of stock index returns using jumps and cojumps
نویسندگان
چکیده
منابع مشابه
The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index
Modeling and forecasting realized volatility is of paramount importance. Previous studies have examined the role of both the continuous and jump components of volatility in forecasting. This paper considers how to use index level jumps and cojumps across index constituents for forecasting index level volatility. In combination with the magnitude of past index jumps, the intensity of both index ...
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2017
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2017.01.005