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...

We propose a dilution bias correction approach to deal with the errors-in-variables problem observed in realized volatility (RV) measures. The absolute difference between daily and monthly RV is shown to be proportional to the relative magnitude of the measurement error. Therefore, in...

This paper examines the finite sample properties of novel theoretical tests that evaluate the presence of: a) Brownian motion, b) jumps; c) finite vs. infinite activity jumps. In allowing for Gaussian, t-distributed, and Gaussian-T mixture noise, our Monte Carlo experiment guides a search for...

This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects...

This paper shows that generalizing the heterogeneous autoregressive model (HAR) with realized (co)variances and semi-(co)variances from the index leads to more accurate volatility forecasts. To circumvent the effects of the market microstructure noise arising from using high sampling...

This paper examines how efficiency dynamics of Islamic and conventional banks compare and how they are converging across different countries. We employ both parametric and non-parametric methods to analyse a panel of Islamic and conventional banks from 23 countries during the period 1999 to...

This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects...