TY  - RPRT
AU  - Asai, Manabu
AU  - Gupta, Rangan
AU  - McAleer, Michael
PY  - 2019
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17467
AB  - 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...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Commodity Markets
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 the Co-Volatility of Oil and Gold Futures
TY  - technical report
VL  - 2019
ER  -