Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets
Sign Up to like & getrecommendations! Published in 2019 at "Energy Economics"
DOI: 10.1016/j.eneco.2019.03.020
Abstract: Abstract In this article, we investigate the impacts of jumps, cojumps and their signed components on forecasting oil futures price volatility in the framework of the heterogeneous autoregressive realized volatility model. Our empirical results reveal… read more here.
Keywords: bad cojumps; jumps cojumps; volatility; oil ... See more keywords