This paper examines the forecasting performances of high-frequency jump tests for oil
futures volatility from a comprehensive perspective. It contributes to the literature by …

A well-documented finding is that explicitly using jumps cannot efficiently enhance the
predictability of crude oil price volatility. To address this issue, we find a phenomenon,“ …

Based on the work of Buncic and Gisler (2017), this paper investigates whether the roles of
jump components will change in forecasting the volatility of international equity markets …

Contrary to the current practice that mainly considers stand-alone statistical loss functions,
the aim of the paper is to assess oil price volatility forecasts based on objective-based …

Jump dynamics in financial markets exhibit significant complexity, often resulting in
increased probabilities of subsequent jumps, akin to earthquake aftershocks. This study …

In this paper, we examine whether jumps matter in both equity market returns and integrated
volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly …

We examine the clustering behavior of price and variance jumps using high-frequency data,
modeled as a marked Hawkes process (MHP) embedded in a bivariate jump-diffusion …

Even moderate amounts of zero returns in financial data, associated with stale prices, are
heavily detrimental for reliable jump inference. We harness staleness-robust estimators to …

This research explores the function of information shocks in equity returns and integrated
volatility of emerging Asian markets using Swap Variance (SwV) approach on the period of …

Purpose We examine the relationship between macroeconomic news and fund price jumps,
using high-frequency 5-min intraday data for Exchange Traded Funds (ETFs) and Listed …