Realized volatility transmission: The role of jumps and leverage effects

the role of russia in transmission of energy from central asia and caucuses to european union

پس ازفروپاشی شوروی،رشد منابع نفت و گاز، آسیای میانه و قفقاز را در یک بازی ژئوپلتیکی انرژی قرار داده است. با در نظر گرفتن این منابع هیدروکربنی، این منطقه به یک میدانجنگ و رقابت تجاری برای بازی های ژئوپلتیکی قدرت های بزرگ جهانی تبدیل شده است. روسیه منطقه را به عنوان حیات خلوت خود تلقی نموده و علاقمند به حفظ حضورش می باشد تا همانند گذشته گاز طبیعی را به وسیله خط لوله مرکزی دریافت و به عنوان یک واس...

Asymmetry and Leverage in Realized Volatility

The Impact of Jumps and Leverage in Forecasting Co-Volatility

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 this approach we can disentangle the estimates of the integrated co-volatility matrix and jump variations from the quadratic covariation matrix. ...

Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps * Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps *

Realized volatility of stock returns is often decomposed into two distinct components that are attributed to continuous price variation and jumps. This paper proposes a tobit multivariate factor model for the jumps coupled with a standard multivariate factor model for the continuous sample path to jointly forecast volatility in three Chinese Mainland stocks. Out of sample forecast analysis show...

Realized stochastic volatility with leverage and long memory

! ! The daily return and the realized volatility are simultaneously modeled in the stochastic volatility model with leverage and long memory. In addition to the stochastic volatility model with leverage for the daily returns, ARFIMA process is jointly considered for the realized volatilities. Using a state space representation of the model, we estimate parameters by Markov chain Monte Carlo met...