The contribution of intraday jumps to forecasting the density of returns

DOI10.1016/J.JEDC.2020.103853OpenAlexW3006380159MaRDI QIDQ2181523

Benoît Sévi, Florian Ielpo, Christophe Chorro

Publication date: 19 May 2020

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2020.103853

zbMATH Keywords

jumpsleverage effectrealized volatilitydensity forecastingmedian realized volatility

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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