The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks

Pacific Basin Finance Journal

Volumn 23, Issue , 2013, Pages 25-48

  Liao, Yin ^a,b  

^a QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

^b AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Jumps; Realized volatility; Value at risk (VaR)

Indexed keywords

EID: 84873693789     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2013.01.002     Document Type: Article

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