Template-type: ReDIF-Paper 1.0
Author-Name: Manabu Asai
Author-Email: m-asai@soka.ac.jp.
Author-Person: pas73 
Author-Workplace-Name: Faculty of Economics, Soka University
Author-Workplace-Homepage: https://www.soka.ac.jp/economics/
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of Economic Research, 
	Kyoto University. 
Title: The Impact of Jumps and Leverage in Forecasting Co-Volatility 
Abstract: The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage 
	effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013) 
	such that the estimated matrix is positive definite. Using this approach we can disentangle the 
	estimates of the integrated co-volatility matrix and jump variations from the quadratic covariation 
	matrix. Empirical results for three stocks traded on the New York Stock Exchange indicate that the 
	co-jumps of two assets have a significant impact on future co-volatility, but that the impact is 
	negligible for forecasting weekly and monthly horizons.

Classification-JEL: C32, C53, C58, G17.

Keywords: Co-Volatility; Forecasting; Jump; Leverage Effects; Realized Covariance; Threshold Estimation.

Note: The authors are most grateful to Yoshi Baba and Karen Lewis for very helpful comments and suggestions. 
	The first author acknowledges the financial support of the Japan Ministry of Education, Culture, 
	Sports, Science and Technology, Japan Society for the Promotion of Science, and Australian Academy 
	of Science. The second author is most grateful for the financial support of the Australian Research 
	Council, National Science Council, Taiwan, and the Japan Society for the Promotion of Science. 
	Address for correspondence: Faculty of Economics, Soka University, 1-236 Tangi-machi, Hachioji, Tokyo 
	192-8577, Japan. Email address: m-asai@soka.ac.jp.

Length: 23 pages
Creation-Date: 2015-02 
Number: 2015-02 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1502.txt
File-URL: https://eprints.ucm.es/id/eprint/28343/1/1502.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1502