The Business Cycle’s Impact on Volatility Forecasting: Recapturing Intrinsic Jump Components

This study investigates the leverage effect and realized volatility (RV) of stocks in the presence of asymmetric jumps across economic expansions and contractions. We extend the heterogeneous autoregressive-realized volatility (HAR-RV) model by incorporating a two-period Markov regime-switching mode...

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Hlavní autoři:	Son-Nan Chen, Pao-Peng Hsu
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	MDPI AG 2025-11-01
Edice:	Risks
Témata:	asymmetric jumps business cycle HAR-RV model leverage effect realized volatility
On-line přístup:	https://www.mdpi.com/2227-9091/13/11/221
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