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

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Atak A., Kapetanios G.

ECONOMICS LETTERS, cilt.120, sa.2, ss.224-228, 2013 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 120 Sayı: 2
  • Basım Tarihi: 2013
  • Doi Numarası: 10.1016/j.econlet.2013.03.051
  • Dergi Adı: ECONOMICS LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.224-228
  • Anahtar Kelimeler: Realized volatility, Bipower variation, Jump tests, Factor models, Volatility forecasting, Model selection, NUMBER
  • Orta Doğu Teknik Üniversitesi Adresli: Hayır

Özet

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.