Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
نویسندگان
چکیده
منابع مشابه
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
We provide empirical evidence of volatility forecasting in relation to asymmetries present in the dynamics of both return and volatility processes. Using recently-developed methodologies to detect jumps from high frequency price data, we estimate the size of positive and negative jumps and propose a methodology to estimate the size of jumps in the quadratic variation. The leverage effect is sep...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1939271