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...
Αποθηκεύτηκε σε:
| Κύριοι συγγραφείς: | , |
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| Μορφή: | Artigo |
| Γλώσσα: | Inglês |
| Έκδοση: |
MDPI AG
2025-11-01
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| Σειρά: | Risks |
| Θέματα: | |
| Διαθέσιμο Online: | https://www.mdpi.com/2227-9091/13/11/221 |
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