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 -