The contribution of intraday jumps to forecasting the density of returns

Christophe Chorro (1) , Florian Ielpo (1) , Benoît Sévi (2)

1 CES - Centre d'économie de la Sorbonne
2 LEMNA - Laboratoire d'économie et de management de Nantes Atlantique

Mots clés: density forecasting; jumps; Realized volatility; median realized volatility; verage effect

Domaines: Sciences de l'Homme et Société; Probabilités [math.PR]; Economies et finances

Christophe Chorro, Florian Ielpo, Benoît Sévi. The contribution of intraday jumps to forecasting the density of returns. Journal of Economic Dynamics and Control, 2020, 113, pp.103853. ⟨10.1016/j.jedc.2020.103853⟩. ⟨halshs-02505861⟩