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ArticleRealized volatility transmission: The role of jumps and leverage effects

Michael Souček2013

Article2013

Realized volatility transmission: The role of jumps and leverage effects

Michael Souček · Neda Todorova

31 citations·0/0 files stored·Economics Letters

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

2008A Simple Approximate Long-Memory Model of Realized Volatility 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 2005The Relative Contribution of Jumps to Total Price Variance 2005Shock and volatility transmission in the oil, US and Gulf equity markets 2009Volatility transmission between oil prices and equity sector returns 2011Volatility transmission in emerging European foreign exchange markets

Cited by

2022Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS 2015Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting 2018The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited

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Year2013

Typearticle

Published2013-11-21

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations31

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econlet.2013.11.007

openalex_workW1973991978

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