The benefit of modeling jumps in realized volatility for risk prediction : evidence from Chinese mainland stocks
Liao, Yin (2013) The benefit of modeling jumps in realized volatility for risk prediction : evidence from Chinese mainland stocks. Pacific-Basin Finance Journal, 23, pp. 25-48.
Recent literature has focused on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility models can largely improve VaR prediction, especially for emerging markets where jumps play a stronger role than those in developed markets.
Impact and interest:
Citation counts are sourced monthly from and citation databases.
These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.
Citations counts from theindexing service can be viewed at the linked Google Scholar™ search.
Full-text downloads displays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.
|Item Type:||Journal Article|
|Keywords:||Value at risk (VaR), Realized volatility, Jumps|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
|Copyright Owner:||Copyright 2013 Elsevier B.V.|
|Copyright Statement:||NOTICE: this is the author’s version of a work that was accepted for publication in Pacific-Basin Finance Journal. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Pacific-Basin Finance Journal, [Volume 23, (June 2013)] DOI: 10.1016/j.pacfin.2013.01.002|
|Deposited On:||10 Jul 2013 06:40|
|Last Modified:||10 Jun 2016 15:09|
Repository Staff Only: item control page