Multivariate Two S ale Realized
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چکیده
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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...
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