Search Results - subject:"signed jumps"

Risk of Bitcoin Market: Volatility, Jumps, and Forecasts

Hu, Junjie; Kuo, Weiyu; Härdle, Wolfgang Karl - 2019

estimated with (threshold-)jump components (T)J, semivariance RSV+(−) , and signed jumps (T)J+(−) . Our empirical results show …

Persistent link: https://www.econbiz.de/10012433238

The contribution of jump signs and activity to forecasting stock price volatility

Hizmeri, Rodrigo; Izzeldin, Marwan; Murphy, Anthony; … - 2019

We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that vary by sector, volume and degree of jump activity. We use...

Persistent link: https://www.econbiz.de/10012030057

The explanatory power of signed jumps for the risk-return tradeoff

Sévi, Benoît; Baena, César - In: Economics Bulletin 33 (2013) 2, pp. 1029-1046

Patton and Sheppard (2011) develop the concept of signed jumps as the difference between positive and negative realized … dedicated to rare jumps, it is signed. We show that signed jumps only occasionally help in explaining future returns, at least …

Persistent link: https://www.econbiz.de/10010639341