The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures

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题名:	The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures
作者:	Asai, Manabu;Asai, Manabu;Gupta, Rangan;Gupta, Rangan;馬可立;McAleer, Michael
贡献者:	財務金融學系
关键词:	commodity markets;co-volatility;forecasting;jump;leverage effects;realized covariance;threshold estimation
日期:	2019-09
上传时间:	2020-08-20 06:06:37 (UTC+0)
出版者:	亞洲大學
摘要:	This paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects for daily crude oil and gold futures. We use a modified version of the jump-robust covariance estimator of Koike (2016), such that the estimated matrix is positive definite. Using this approach, we can disentangle the estimates of the integrated co-volatility matrix and jump variations from the quadratic covariation matrix. Empirical results show that more than 80% of the co-volatility of the two futures contains jump variations and that they have significant impacts on future co-volatility but that the impact is negligible in forecasting weekly and monthly horizons.
關聯:	Energies
显示于类别:	[財務金融學系] 期刊論文

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