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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| Главные авторы: | , |
|---|---|
| Формат: | Artigo |
| Язык: | Inglês |
| Опубликовано: |
MDPI AG
2025-11-01
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| Серии: | Risks |
| Предметы: | |
| Online-ссылка: | https://www.mdpi.com/2227-9091/13/11/221 |
| Метки: |
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