ECONOMICS LETTERS, vol.120, no.2, pp.224-228, 2013 (Peer-Reviewed Journal)
Article / Article
Social Sciences Citation Index, Scopus
Realized volatility, Bipower variation, Jump tests, Factor models, Volatility forecasting, Model selection, NUMBER
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.