Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting

By Fulvio Corsi, Davide Pirino, Roberto Renò. 2010

521 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/719b3736100c0e5a2a6dc766953e24e78ddb16f7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Feng Ma
2. Yu Wei
3. M. Wahab
4. Jing Liu
5. Weiju Xu
6. Dengshi Huang
7. Filip Žikeš
8. Marcel Prokopczuk

In Finance

1. Feng Ma
2. M. Wahab
3. Yu Wei
4. Jing Liu
5. Dengshi Huang
6. Weiju Xu
7. Filip Žikeš
8. Marcel Prokopczuk

Citations in the corpus

• Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets (2016, background): “…the growing literature that uses intraday data to obtain more accurate volatility forecasts (Andersen and Bollerslev, 1998; Areal and Taylor, 2002; Martens and Zein, 2004; Giot and Laurent, 2007; Corsi and Reno, 2009; Corsi et al., 2010; Chung et al., 2011; Patton and Sheppard, 2015; Sévi, 2014).”
• The VIX, the Variance Premium and Stock Market Volatility (2013, unknown): “, Andersen, Bollerslev and Diebold (2007) and Corsi, Pirino and Renò (2010).”
• Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests (2011, methodology): “…by Andersen, Bollerslev, and Dobrev (2007), Aı̈t-Sahalia and Jacod (2008), Jiang and Oomen (2008), Lee and Mykland (2008), Andersen, Dobrev, and Schaumburg (2009) [two tests based on the minimum and median realized variance], Corsi, Pirino, and Renò (2010), and Podolskij and Ziggel (2010).”
• Bond Variance Risk Premia (2012, unknown): “While this distinction is important from a methodological perspective, the main results are robust to the choice of method. mium, we thus use the HAR-TCJ model for realized variance proposed by Corsi, Pirino, and Renò (2010).”
• Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2015, unknown): “Following Corsi et al. (2010), we take the threshold to be be three times a local (intra-day) volatility estimate.7 6Christensen et al. (2010) refers to this formulation of the QRV as “subsampled QRV”, as opposed to “block QRV”, which has adjacent non-overlapping blocks.”
• Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks (2020, unknown): “This is consistent with the results of Corsi et al (2010) who find a positive and significant effect of the jump component when measuring the squared jumps using their threshold indicator.”