Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
We provide empirical evidence of volatility forecasting in relation to asymmetries present in the dynamics of both return and volatility processes. Using recently-developed methodologies to detect jumps from high frequency price data, we estimate the size of positive and negative jumps and propose a...
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| Autori principali: | , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
MDPI AG
2016-02-01
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| Serie: | Econometrics |
| Soggetti: | |
| Accesso online: | http://www.mdpi.com/2225-1146/4/1/8 |
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