We investigate the marginal predictive content of small versus large jump variation, when forecasting one …-week-ahead cross-sectional equity returns, building on Bollerslev et al. (2020). We find that sorting on signed small jump variation ….e., high-low spreads) than when either signed total jump or signed large jump variation is sorted on. It is shown that the …

We investigate the marginal predictive content of small versus large jump variation, when forecasting one …-week-ahead cross-sectional equity returns, building on Bollerslev et al. (2020). We find that sorting on signed small jump variation ….e., high-low spreads) than when either signed total jump or signed large jump variation is sorted on. It is shown that the …

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component … threshold. In Step 2 we estimate the jump variation by averaging noisy price processes at each side of a declared jump point and …

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component … threshold. In Step 2 we estimate the jump variation by averaging noisy price processes at each side of a declared jump point and …