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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...

Täydet tiedot

Tallennettuna:
Päätekijät: Son-Nan Chen, Pao-Peng Hsu
Aineistotyyppi: Artigo
Kieli:Inglês
Julkaistu: MDPI AG 2025-11-01
Sarja:Risks
Aiheet:
asymmetric jumps
business cycle
HAR-RV model
leverage effect
realized volatility
Linkit:https://www.mdpi.com/2227-9091/13/11/221
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