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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Номзүйн дэлгэрэнгүй

Үндсэн зохиолчид:	Son-Nan Chen, Pao-Peng Hsu
Формат:	Artigo
Хэл сонгох:	Inglês
Хэвлэсэн:	MDPI AG 2025-11-01
Цуврал:	Risks
Нөхцлүүд:	asymmetric jumps business cycle HAR-RV model leverage effect realized volatility
Онлайн хандалт:	https://www.mdpi.com/2227-9091/13/11/221
Шошгууд:	Шошго нэмэх Шошго байхгүй, Энэхүү баримтыг шошголох эхний хүн болох!