Template-type: ReDIF-Paper 1.0
Author-Name: Manabu Asai
Author-Workplace-Name: Faculty of Economics Soka University, Japan
.
Author-Name: Rangan Gupta
Author-Workplace-Name: Department of Economics, University of Pretoria, South Africa.
Author-Name:
 Michael McAleer
Author-Workplace-Name:
 Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of 
	Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of 
	Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.
Title: The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures
Abstract: The paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects. We modify the jump-robust covariance 
	estimator of Koike (2016), 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 daily crude oil and gold futures show that the 
	co-jumps of the two futures have significant impacts on future co-volatility, but that the impact is negligible in forecasting weekly and monthly 
	horizons.
Classification-JEL: C32, C33, C58, Q02.
Keywords: Commodity Markets; Co-volatility; Forecasting; Jump; Leverage Effects; Realized Covariance; Threshold Estimation.
Length: 25 pages 
Creation-Date: 2019-03
Number: 2019-12
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1912.txt
File-URL: https://eprints.ucm.es/id/eprint/54770/1/1912.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1912