Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building on recent theoretical results in Barndorff-Nielsen and Shephard (2004a, 2005) for related bi-power variation measures, the present paper provi...

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Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility*

A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from highfrequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on recent theoretical results from Barndorff-Nielsen and Shephard (2003c,d) for related bipower variation meas...

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Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from highfrequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on recent theoretical results from Barndorff-Nielsen and Shephard (2003c,d) for related bipower variation meas...

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contribution of setting to the study of characters and the main idea in e. brontes: wuthering heights and t. hardys: return of the native.

this thesis aims to adduce an unmitigated and comprehensive explication concerning the relationship of three significant elements of fiction: setting, chracter and theme. my research is basically placed on two outstanding novels of the 19th century: emily brontes wuthering heights and thomas hardys return of the native. my endeavour lies in studying the correlation among the three above-mention...

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Torben G . Andersen , Tim Bollerslev and Francis X . Diebold “ Some Like it Smooth , and Some Like it Rough : Untangling Continuous and Jump Components in Measuring , Modeling , and Forecasting Asset Return Volatility

A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from highfrequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on recent theoretical results from Barndorff-Nielsen and Shephard (2003c,d) for related bipower variation meas...

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Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

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