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...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
MDPI AG
2025-11-01
|
| Schriftenreihe: | Risks |
| Schlagworte: | |
| Online-Zugang: | https://www.mdpi.com/2227-9091/13/11/221 |
| Tags: |
Keine Tags, Fügen Sie das erste Tag hinzu!
|