Asai, ManabuGupta, RanganMcAleer, Michael2020-08-112020-08-112019-09-02Asai, 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. 1-17.1996-1073 (online)10.3390/en12173379http://hdl.handle.net/2263/75632This 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© 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.Commodity marketsCo-volatilityForecastingJumpLeverage effectsRealized covarianceThreshold estimationArticle