The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … jump-robust two time scale covariance estimator of Boudt and Zhang (2013)such that the estimated matrix is positive … definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump variations from …

standard inference from least-squares estimation of a suitably adjusted predictive regression. We analyze US and international …

We develop a new variational Bayes estimation method for large-dimensional sparse vector autoregressive models with …, both in simulation and when forecasting a large cross section of industry portfolios spanning almost a hundred years of …

coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of …

realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in …

volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …