Asai, ManabuGupta, RanganMcAleer, Michael2023-06-172023-06-1720192341-2356https://hdl.handle.net/20.500.14352/17467The 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.engtechnical reporthttps://www.ucm.es/icaeopen accessC32C33C58Q02Commodity MarketsCo-volatilityForecastingJumpLeverage EffectsRealized CovarianceThreshold Estimation.Econometría (Economía)5302 Econometría