Modeling and forecasting realized volatility is of paramount importance. Previous studies have examined the role of both the continuous and jump components of volatility in forecasting. This paper considers how to use index level jumps and cojumps across index constituents for forecasting index...

Understanding the dynamics of volatility and correlation is a crucially important issue. The literature has developed rapidly in recent years with more sophisticated estimates of volatility, and its associated jump and diffusion components. Previous work has found that jumps at an index level...

There is much literature that deals with modeling and forecasting asset return volatility. However, much of this research does not attempt to explain variations in the level of volatility. Movements in volatility are often linked to trading volume or frequency, as a reflection of underlying...

Understanding the dynamics of volatility and correlation is a crucially important issue. The literature has developed rapidly in recent years with more sophisticated estimates of volatility, and its associated jump and diffusion components. Previous work has found that jumps at an index level...

Modeling and forecasting realized volatility is of paramount importance. Recent econometric developments allow total volatility to be decomposed into its' constituent continuous and jump components. While previous studies have examined the role of both components in forecasting, little analysis...