15-018/III - The Impact of Jumps and Leverage in Forecasting Co-Volatility

• Authors
  Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain
• Publication date
  February 9, 2015

• Keywords
  Co-Volatility; Forecasting; Jump; Leverage Effects; Realized Covariance; Threshold
• JEL
  C32, C53, C58, G17