Open AccessThe Contribution of Jump Activity and Sign to Forecasting Stock Price Volatility
Author(s) -
Ruijun Bu,
Rodrigo Hizmeri,
Marwan Izzeldin,
Anthony Murphy,
Efthymios G. Tsionas
Publication year - 2020
Publication title -
federal reserve bank of dallas, working papers
Language(s) - English
DOI - 10.24149/wp1902r1
Subject(s) - econometrics , estimator , jump , volatility (finance) , realized variance , spurious relationship , forward volatility , semivariance , stochastic volatility , mathematics , statistics , computer science , physics , quantum mechanics , spatial variability
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