A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors

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2013-08-01

Author

Atak Atalık, Alev

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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.

URI

https://hdl.handle.net/11511/94041

Journal

ECONOMICS LETTERS

DOI

https://doi.org/10.1016/j.econlet.2013.03.051

Collections

Department of Economics, Article

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Citation Formats

A. Atak Atalık, “A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors,” ECONOMICS LETTERS, vol. 120, no. 2, pp. 224–228, 2013, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/94041.