Threshold bipower variation and the impact of jumps on volatility forecasting

Journal of Econometrics

Volumn 159, Issue 2, 2010, Pages 276-288

  Corsi, Fulvio ^a,b   Pirino, Davide ^c   Renò, Roberto ^d  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b SWISS FINANCE INSTITUTE   (Switzerland)

^c SCUOLA SUPERIORE SANT ANNA   (Italy)

^d UNIVERSITY OF SIENA   (Italy)

Author keywords

Financial markets; Jump detection; Threshold estimation; Volatility estimation; Volatility forecasting

Indexed keywords

FINANCIAL MARKET; JUMP DETECTION; THRESHOLD ESTIMATION; VOLATILITY ESTIMATION; VOLATILITY FORECASTING;

ESTIMATION; FINANCE; SAMPLING;

ELECTRIC LOAD FORECASTING;

EID: 77957985116     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.07.008     Document Type: Article

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