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...
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Artigo |
| Langue: | Inglês |
| Publié: |
MDPI AG
2025-11-01
|
| Collection: | Risks |
| Sujets: | |
| Accès en ligne: | https://www.mdpi.com/2227-9091/13/11/221 |
| Tags: |
Pas de tags, Soyez le premier à ajouter un tag!
|