The DOI matches its Crossref record; 43 of the 43 references it cites were found in a registry or an index.
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
Abstract
Using estimators of the variation of positive and negative returns (realized semivariances) and high-frequency data for the S&P 500 Index and 105 individual stocks, this paper sheds new light on the predictability of equity price volatility.We showthat future volatility is more strongly related to the volatility of past negative returns than to that of positive returns and that the impact of a price jump on volatility depends on the sign of the jump, with negative (positive) jumps leading to higher (lower) future volatility. We show that models exploiting these findings lead to significantly better out-of-sample forecast performance.
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Cites
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
Diebold, F., & Mariano, R. (1994) · National Bureau of Economic Research · doi:10.3386/t0169 · Cited by 5,185
Modeling and Forecasting Realized Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2003) · Econometrica · doi:10.1111/1468-0262.00418 · Cited by 3,863
A Simple Approximate Long-Memory Model of Realized Volatility
Corsi, F. (2008) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbp001 · Cited by 2,495
The stochastic behavior of common stock variances Value, leverage and interest rate effects
Christie, A. (1982) · Journal of Financial Economics · doi:10.1016/0304-405x(82)90018-6 · Cited by 2,379
Diebold, F. X., & Mariano, R. S. (1995) · Journal of Business and Economic Statistics · doi:10.2307/1392185 · Cited by 2,340
Threshold heteroskedastic models
Zakoian, J.-M. (1994) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(94)90039-6 · Cited by 2,281
The Distribution of Realized Exchange Rate Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001) · Journal of the American Statistical Association · doi:10.1198/016214501750332965 · Cited by 2,104
Cited by
Exploiting the errors: A simple approach for improved volatility forecasting
Bollerslev, T., Patton, A. J., & Quaedvlieg, R. (2016) · Journal of Econometrics · doi:10.1016/j.jeconom.2015.10.007 · Cited by 444
Self-citationRisk Everywhere: Modeling and Managing Volatility
Bollerslev, T., Hood, B., Huss, J., & Pedersen, L. H. (2018) · The Review of Financial Studies · doi:10.1093/rfs/hhy041 · Cited by 359
Metadata
- Authors
- Patton, A. J., & Sheppard, K.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press - Journals
- Published
- 2015-07
- Volume
- 97
- Issue
- 3
- Pages
- 683-697
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W2066815740
- Cited by
- 769
- References
- 43
- FWCI
- 83.79
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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