Add to ORKGRapport de recherche présenté à la Faculté des arts et des sciences en vue de l'obtention du grade de Maîtrise en sciences économiques
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a pos...
A rapidly growing literature has documented important improvements in volatility measurement and for...
The contribution of this paper is two-fold. First we show how to estimate the volatility of high fr...
This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecast...
We document the forecasting gains achieved by incorporating measures of signed, finite, and infinite...
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a pos...
There is a growing literature on the realized volatility (View the MathML source) forecasting of ass...
We introduce a generalization of the Heterogeneous Autoregressive (HAR)model for estimating the pres...
Given that jumps in the implied volatility index (VIX) lead to rapid changes in the level of volatil...
This paper comprehensively investigates the role of realized jumps detected from high frequency data...
We propose a novel approach to decompose realized jump measures by type of activity (finite/infinite...
A rapidly growing literature has documented important improvements in volatility measurement and for...
This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecast...
June, 16 2008This study reconsiders the role of jumps for volatility forecasting by showing that jum...
This thesis consists of three research topics, which together study the related topics of volatility...
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a pos...
A rapidly growing literature has documented important improvements in volatility measurement and for...
The contribution of this paper is two-fold. First we show how to estimate the volatility of high fr...
This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecast...
We document the forecasting gains achieved by incorporating measures of signed, finite, and infinite...
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a pos...
There is a growing literature on the realized volatility (View the MathML source) forecasting of ass...
We introduce a generalization of the Heterogeneous Autoregressive (HAR)model for estimating the pres...
Given that jumps in the implied volatility index (VIX) lead to rapid changes in the level of volatil...
This paper comprehensively investigates the role of realized jumps detected from high frequency data...
We propose a novel approach to decompose realized jump measures by type of activity (finite/infinite...
A rapidly growing literature has documented important improvements in volatility measurement and for...
This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecast...
June, 16 2008This study reconsiders the role of jumps for volatility forecasting by showing that jum...
This thesis consists of three research topics, which together study the related topics of volatility...
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a pos...
A rapidly growing literature has documented important improvements in volatility measurement and for...
The contribution of this paper is two-fold. First we show how to estimate the volatility of high fr...