This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and discontinuous components using estimators which are not...

Single-factor interest rate models with constant coefficients are not consistent with arbitrary initial term structures. An extension which allows both arbitrary initial term structure and analytical tractability has been provided only in the Gaussian case. In this paper, within the context of...

We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transactions on SPX500 futures from 1993 to 2001. We show that, while realized volatility and intraday serial correlation are linked, this relation is driven...

A method is proposed to compute a time-varying correlation matrix between asset prices. The method has a natural geometric interpretation in terms of dynamic principal components analysis. The paper illustrates, via Monte Carlo experiments and data analysis, the potential of the method in...

Repurchase agreements (repos) are one of the most important sources of funding liquidity for many financial investors and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given to the borrower is the market value of the collateral,...