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 correctly separated into its continuous … stocks and US bond yields) shows that the proposed techniques improve significantly the accuracy of volatility forecasts …

model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …