A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors

被引：7

作者：

Atak, Alev ^{[1
]}

Kapetanios, George ^{[2
]}

机构：

[1] City Univ London, Dept Econ, London EC1R 0JD, England

[2] Univ London, Sch Econ & Finance, London E1 4NS, England

来源：

ECONOMICS LETTERS | 2013年 / 120卷 / 02期

关键词：

Realized volatility; Bipower variation; Jump tests; Factor models; Volatility forecasting; Model selection; NUMBER;

D O I：

10.1016/j.econlet.2013.03.051

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

There is a growing literature on the realized volatility (RV) forecasting of asset returns using high-frequency data. We explore the possibility of forecasting RV with factor analysis; once considering the significant jumps. A real high-frequency financial data application suggests that the factor based approach is of significant potential interest and novelty. (C) 2013 Elsevier B.V. All rights reserved.

引用

收藏

页码：224 / 228

页数：5

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