Realized Jumps on Financial Markets and Predicting Credit Spreads

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Subfields: Finance

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Bond Liquidity Premia (2012, background): “Warga (1992) document the impact of age and maturity on the average premium.”
The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2010, unknown): “Recent empirical work by Cremers, Driessen, and Maenhout (2008), Zhang et al. (2008), and Tauchen and Zhou (2006) finds that an important determinant of credit spreads is the jump-component of stock return volatility.”
Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks (2020, unknown): “Finally we examine two further models, namely the HAR-RJ model of Tauchen and Zhou (2011) and the HAR-ARJ of Prokopczuk et al (2016).”
Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks (2019, methodology): “Inspired by Wang et al. (2017) and Degiannakis and Filis (2017), we consider the Directionof-Change (DoC) (Pesaran and Timmermann, 2009) as a third forecasting evaluation criterion.”
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets (2016, methodology): “BarndorffNielsen and Shephard (2004), Barndorff-Nielsen et al. (2004), Barndorff-Nielsen and Shephard (2006), Tauchen and Zhou (2011) and Andersen et al. (2012) propose a number of non-parametric tests to identify jumps.”