The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures

The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures

This paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects for daily crude oil and gold futures. We use a modified version of the jump-robust covariance estimator of Koike (2016), such that the estimated matrix is positive definite. Using this approa...

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Bibliographic Details
Main Authors: Manabu Asai, Rangan Gupta, Michael McAleer
Format: Article
Language:English
Published: MDPI AG 2019-09-01
Series:Energies
Subjects:
commodity markets
co-volatility
forecasting
jump
leverage effects
realized covariance
threshold estimation
Online Access:https://www.mdpi.com/1996-1073/12/17/3379

Internet

https://www.mdpi.com/1996-1073/12/17/3379

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