The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures

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dc.contributor.author Asai, Manabu
dc.contributor.author Gupta, Rangan
dc.contributor.author McAleer, Michael
dc.date.accessioned 2020-08-11T13:34:30Z
dc.date.available 2020-08-11T13:34:30Z
dc.date.issued 2019-09-02
dc.description.abstract This paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects for daily crude oil and gold futures. We use a modified version of the jump-robust covariance estimator of Koike (2016), such that the estimated matrix is positive definite. Using this approach, we can disentangle the estimates of the integrated co-volatility matrix and jump variations from the quadratic covariation matrix. Empirical results show that more than 80% of the co-volatility of the two futures contains jump variations and that they have significant impacts on future co-volatility but that the impact is negligible in forecasting weekly and monthly horizons. en_ZA
dc.description.department Economics en_ZA
dc.description.librarian am2020 en_ZA
dc.description.sponsorship The Japan Ministry of Education, Culture, Sports, Science and Technology, Japan Society for the Promotion of Science (JSPS KAKENHI, Australian Academy of Science, the Australian Research Council, Ministry of Science and Technology (MOST), Taiwan, and the Japan Society for the Promotion of Science. en_ZA
dc.description.uri http://www.mdpi.com/journal/energies en_ZA
dc.identifier.citation Asai, M., Gupta, R. & McAleer, M. 2019, 'The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures', Energies, vol. 12, art. 3379, pp. 1-17. en_ZA
dc.identifier.issn 1996-1073 (online)
dc.identifier.other 10.3390/en12173379
dc.identifier.uri http://hdl.handle.net/2263/75632
dc.language.iso en en_ZA
dc.publisher MDPI Publishing en_ZA
dc.rights © 2019 by the authors. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license. en_ZA
dc.subject Commodity markets en_ZA
dc.subject Co-volatility en_ZA
dc.subject Forecasting en_ZA
dc.subject Jump en_ZA
dc.subject Leverage effects en_ZA
dc.subject Realized covariance en_ZA
dc.subject Threshold estimation en_ZA
dc.title The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures en_ZA
dc.type Article en_ZA


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