The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
| dc.contributor.author | Asai, Manabu | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | McAleer, Michael | |
| dc.date.accessioned | 2023-06-17T17:54:11Z | |
| dc.date.available | 2023-06-17T17:54:11Z | |
| dc.date.issued | 2019 | |
| dc.description.abstract | The paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects. We modify the jump-robust covariance estimator of Koike (2016), such that the estimated matrix is positive definite. Using this approach, we can disentangle the estimates of the integrated co-volatility matrix and jump variations from the quadratic covariation matrix. Empirical results for daily crude oil and gold futures show that the co-jumps of the two futures have significant impacts on future co-volatility, but that the impact is negligible in forecasting weekly and monthly horizons. | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/54770 | |
| dc.identifier.issn | 2341-2356 | |
| dc.identifier.relatedurl | https://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/17467 | |
| dc.issue.number | 12 | |
| dc.language.iso | eng | |
| dc.page.total | 25 | |
| dc.publisher | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | |
| dc.relation.ispartofseries | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
| dc.rights.accessRights | open access | |
| dc.subject.jel | C32 | |
| dc.subject.jel | C33 | |
| dc.subject.jel | C58 | |
| dc.subject.jel | Q02 | |
| dc.subject.keyword | Commodity Markets | |
| dc.subject.keyword | Co-volatility | |
| dc.subject.keyword | Forecasting | |
| dc.subject.keyword | Jump | |
| dc.subject.keyword | Leverage Effects | |
| dc.subject.keyword | Realized Covariance | |
| dc.subject.keyword | Threshold Estimation. | |
| dc.subject.ucm | Econometría (Economía) | |
| dc.subject.unesco | 5302 Econometría | |
| dc.title | The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures | |
| dc.type | technical report | |
| dc.volume.number | 2019 | |
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| dspace.entity.type | Publication |
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