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The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
16 references·2 citing·35 second hop
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  • 2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited
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  • 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management

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515 cited
  • 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
  • Cited by

    • 2021Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment34 cited
    • 2020A note on investor happiness and the predictability of realized volatility of gold28 cited