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Threshold bipower variation and the impact of jumps on volatility forecasting · Study

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ArticleThreshold bipower variation and the impact of jumps on volatility forecasting

Fulvio Corsi2010

OA

Articlegreen2010

Threshold bipower variation and the impact of jumps on volatility forecasting

Fulvio Corsi · Davide Pirino · Roberto Renò

561 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 561 citations exist upstream.

References

2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 2008A Simple Approximate Long-Memory Model of Realized Volatility 2001The distribution of realized stock return volatility 2001The Distribution of Realized Exchange Rate Volatility 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2003The Impact of Jumps in Volatility and Returns 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

Cited by

2012Jump-robust volatility estimation using nearest neighbor truncation 2012Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling 2019The impact of sentiment and attention measures on stock market volatility 2015Forecasting realized volatility in a changing world: A dynamic model averaging approach 2014Forecasting the volatility of crude oil futures using intraday data 2019Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States 2014Fact or friction: Jumps at ultra high frequency 2013The VIX, the Variance Premium and Stock Market Volatility

Details

Year2010

Typearticle

Published2010-08-11

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations561

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jeconom.2010.07.008

openalex_workW3122553341

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