Open AccessThe Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility
Author(s) -
Rodrigo Hizmeri,
Marwan Izzeldin,
Anthony Murphy,
Efthymios G. Tsionas
Publication year - 2019
Publication title -
federal reserve bank of dallas, working papers
Language(s) - English
DOI - 10.24149/gwp1902
Subject(s) - econometrics , volatility (finance) , jump , stock (firearms) , forward volatility , stochastic volatility , economics , realized variance , mathematics , sabr volatility model , standard deviation , statistics , geography , physics , quantum mechanics , archaeology
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