Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/107881
Authors: 
Asai, Manabu
McAleer, Michael
Year of Publication: 
2015
Series/Report no.: 
Tinbergen Institute Discussion Paper 15-018/III
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.
Subjects: 
Co-Volatility
Forecasting
Jump
Leverage Effects
Realized Covariance
Threshold
JEL: 
C32
C53
C58
G17
Document Type: 
Working Paper

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