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~institution:"Tinbergen Instituut"
~subject:"Co-Volatility"
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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The Impact of Jumps and Leverage in
Forecasting
Co-Volatility
Asai, Manabu
;
McAleer, Michael
-
Tinbergen Instituut
-
2015
The paper investigates the impact of jumps in
forecasting
co-volatility, accommodating leverage effects. We modify the …
forecasting
weekly and monthly horizons. …
Persistent link: https://www.econbiz.de/10011257254
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