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Applied Economics Letters Volume 23, 2016 - Issue 10
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Original Articles

Forecasting the realized volatility: the role of jumps

Zhichao LiuSchool of Economics & Management, Southwest Jiaotong University, Chengdu, ChinaView further author information
,
Feng MaSchool of Economics & Management, Southwest Jiaotong University, Chengdu, ChinaView further author information
,
Xunxiao WangFinancial Engineering Research Center, Shanghai Jiaotong University, Shanghai, ChinaCorrespondence[email protected]
View further author information
&
Zean XiaLaboratory for Financial Intelligence and Financial Engineering, Southwestern University of Finance and Economics, Chengdu, ChinaView further author information
Pages 736-739 | Published online: 09 Nov 2015

Citations (5)

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Read on this site (1)

Dinesh Gajurel & Biplob Chowdhury. (2021) Realized Volatility, Jump and Beta: evidence from Canadian Stock Market. Applied Economics 53:55, pages 6376-6397.
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Articles from other publishers (4)

Yixiang Chen, Feng Ma & Yaojie Zhang. (2019) Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. Energy Economics 81, pages 52-62.
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Jing Liu, Feng Ma, Ke Yang & Yaojie Zhang. (2018) Forecasting the oil futures price volatility: Large jumps and small jumps. Energy Economics 72, pages 321-330.
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Feng Ma, M.I.M. Wahab, Dengshi Huang & Weiju Xu. (2017) Forecasting the realized volatility of the oil futures market: A regime switching approach. Energy Economics 67, pages 136-145.
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Aitor Ciarreta, Peru Muniain & Ainhoa Zarraga Alonso. (2017) Modelling Realized Volatility in Electricity Spot Prices: New Insights and Application to the Japanese Electricity Market. SSRN Electronic Journal.
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