Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Bu, Ruijun 

Working Paper
The Contribution of Jump Activity and Sign to Forecasting Stock Price Volatility

This paper proposes a novel approach to decompose realized jump measures by type of activity (finite/infinite) and by sign. We also provide noise-robust versions of the ABD jump test (Andersen et al. 2007) and realized semivariance measures for use at high frequency sampling intervals. The volatility forecasting exercise involves the use of different types of jumps, forecast horizons, sampling frequencies, calendar and transaction time-based sampling schemes, as well as standard and noise-robust volatility measures. We find that infinite (finite) jumps improve the forecasts at shorter ...
Working Papers , Paper 1902

Working Paper
The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility

We propose a novel approach to decompose realized jump measures by type of activity (finite/infinite) and sign, and also provide noise-robust versions of the ABD jump test (Andersen et al., 2007b) and realized semivariance measures. We find that infinite (finite) jumps improve the forecasts at shorter (longer) horizons; but the contribution of signed jumps is limited. As expected, noise-robust measures deliver substantial forecast improvements at higher sampling frequencies, although standard volatility measures at the 300-second frequency generate the smallest MSPEs. Since no single model ...
Working Papers , Paper 1902

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

C22 2 items

C51 2 items

C53 2 items

C58 2 items

PREVIOUS / NEXT