Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
聚合、非对称性与跳跃对波动率预测重要性的实证证据
Many recent modeling advances in finance topics ranging from the pricing of volatility-based derivative products to asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in forecasting volatility. Key papers in this area include Andersen et al. (2003), Corsi (2004), Andersen et al.…