The Impact of Jumps and Leverage in Forecasting Co-Volatility
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Note: 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.
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Other versions of this item:
- Manabu Asai & Michael McAleer, 2017. "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
- Asai, M. & McAleer, M.J., 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Econometric Institute Research Papers EI 2015-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Tinbergen Institute Discussion Papers 15-018/III, Tinbergen Institute.
References listed on IDEAS
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- Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks," Working Papers 201951, University of Pretoria, Department of Economics.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019.
"The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures,"
Energies, MDPI, vol. 12(17), pages 1-17, September.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures," Documentos de Trabajo del ICAE 2019-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Working Papers 201925, University of Pretoria, Department of Economics.
- Asai, M. & Gupta, R. & McAleer, M.J., 2019. "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Econometric Institute Research Papers EI2019-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2017.
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- Manabu Asai & Chia-Lin Chang & Michael McAleer, 2017. "Realized Stochastic Volatility with General Asymmetry and Long Memory," Tinbergen Institute Discussion Papers 17-038/III, Tinbergen Institute.
- Asai, M. & Chang, C-L. & McAleer, M.J., 2017. "Realized Stochastic Volatility with General Asymmetry and Long Memory," Econometric Institute Research Papers TI 2017-038/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chorro, Christophe & Ielpo, Florian & Sévi, Benoît, 2020. "The contribution of intraday jumps to forecasting the density of returns," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
- Yaojie Zhang & Yu Wei & Li Liu, 2019. "Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value," Quantitative Finance, Taylor & Francis Journals, vol. 19(9), pages 1425-1438, September.
- Luo, Jiawen & Demirer, Riza & Gupta, Rangan & Ji, Qiang, 2022.
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- Jiawen Luo & Riza Demirer & Rangan Gupta & Qiang Ji, 2021. "Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks," Working Papers 202130, University of Pretoria, Department of Economics.
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- Asai, M. & McAleer, M.J., 2018. "Bayesian Analysis of Realized Matrix-Exponential GARCH Models," Econometric Institute Research Papers 2018-005/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Michael McAleer, 2018. "Bayesian Analysis of Realized Matrix-Exponential GARCH Models," Tinbergen Institute Discussion Papers 18-005/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2018. "Bayesian analysis of realized matrix-exponential GARCH models," Documentos de Trabajo del ICAE 2018-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2022. "Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers," Journal of Econometrics, Elsevier, vol. 227(1), pages 285-304.
- Qu, Hui & Zhang, Yi, 2022. "Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies," Economic Modelling, Elsevier, vol. 106(C).
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More about this item
Keywords
Co-Volatility; Forecasting; Jump; Leverage Effects; Realized Covariance; Threshold Estimation.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2015-05-22 (Econometric Time Series)
- NEP-FOR-2015-05-22 (Forecasting)
- NEP-MST-2015-05-22 (Market Microstructure)
- NEP-ORE-2015-05-22 (Operations Research)
- NEP-RMG-2015-05-22 (Risk Management)
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