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

Alev Atak and George Kapetanios

Economics Letters, 2013, vol. 120, issue 2, 224-228

Abstract: 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.

Keywords: Realized volatility; Bipower variation; Jump tests; Factor models; Volatility forecasting; Model selection (search for similar items in EconPapers)
JEL-codes: C32 C50 C52 C53 C58 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:2:p:224-228

DOI: 10.1016/j.econlet.2013.03.051

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