asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting …

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

Modeling and forecasting realized volatility is of paramount importance. Recent econometric developments allow total … of both components in forecasting, little analysis has been undertaken into how best to harness the jump component. This … paper considers how to get the most out of the jump component for the purposes of forecasting total volatility. In …

of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting …

using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear …

account of them in estimating and forecasting IV. This paper investigates through Monte Carlo simulations the effects of RV … errors on estimating and forecasting IV with RV data. It is found that: (i) neglecting RV errors can lead to serious bias in …