• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Recent PhD Placements
    • Facilities
    • Admissions
  • Research
  • News
  • Events
    • Summer School
      • Crash Course in Experimental Economics
      • Introduction in Genome-Wide Data Analysis
      • Research on Productivity, Trade, and Growth
      • Econometric Methods for Forecasting and Data Science
  • Times

15-018/III - The Impact of Jumps and Leverage in Forecasting Co-Volatility


  • Authors
    Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain
  • Publication date
    February 9, 2015
  • Keywords
    Co-Volatility; Forecasting; Jump; Leverage Effects; Realized Covariance; Threshold
  • JEL
    C32, C53, C58, G17