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The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks
Recent literature has focused on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting per...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Elsevier B.V.
2013
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7147854/ http://dx.doi.org/10.1016/j.pacfin.2013.01.002 |