TY  - RPRT
AU  - Asai, Manabu
AU  - McAleer, Michael
PY  - 2015
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/27488
AB  - The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013) such that the estimated matrix is positive definite. Using...
LA  - eng
KW  - Co-Volatility
KW  - Forecasting
KW  - Jump
KW  - Leverage Effects
KW  - Realized Covariance
KW  - Threshold Estimation.
TI  - The Impact of Jumps and Leverage in Forecasting Co-Volatility
TY  - technical report
VL  - 2015
ER  -