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The Impact of Jumps and Leverage in Forecasting Co-Volatility

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Asai, Manabu y McAleer, Michael (2015) The Impact of Jumps and Leverage in Forecasting Co-Volatility. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 02, 2015, ISSN: 2341-2356 ] (No publicado)

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URL Oficial: http://eprints.ucm.es/28343/




Resumen

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.


Tipo de documento:Documento de trabajo o Informe técnico
Información Adicional:

The authors are most grateful to Yoshi Baba and Karen Lewis for very helpful comments and suggestions. The first author acknowledges the financial support of the Japan Ministry of Education, Culture, Sports, Science and Technology, Japan Society for the Promotion of Science, and Australian Academy of Science. The second author is most grateful for the financial support of the Australian Research Council, National Science Council, Taiwan, and the Japan Society for the Promotion of Science.
Address for correspondence: Faculty of Economics, Soka University, 1-236 Tangi-machi, Hachioji, Tokyo 192-8577, Japan. Email address: m-asai@soka.ac.jp.

Palabras clave:Co-Volatility; Forecasting; Jump; Leverage Effects; Realized Covariance; Threshold Estimation.
Materias:Ciencias Sociales > Economía > Econometría
JEL:C32, C53, C58, G17
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volumen:2015
Número:02
Código ID:28343
Depositado:12 Feb 2015 16:02
Última Modificación:12 Feb 2015 16:02

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