Nachricht aus St.Gallen: Volatility Forecasting: Downside Risk, Jumps and Leverage Effect

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Audrino, Francesco: Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. In: Econometrics (2016), Nr. forthcoming, S. 1-1. — We provide empirical evidence on volatility forecasting in relation to asymmetries present in the dynamics of both return and volatility processes. Using recently developed methodologies to detect jumps from high frequency price data, we estimate the size of positive and negative jumps and propose a methodology to estimate the size of jumps in the quadratic variation. The leverage effect is …


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https://www.alexandria.unisg.ch/Publikationen/247127Volatility Forecasting: Downside Risk, Jumps and Leverage Effect

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