Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting ∗

@inproceedings{Corsi2010ThresholdBV,
  title={Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting ∗},
  author={Fulvio Corsi and Davide Pirino and Roberto Ren{\`o}},
  year={2010}
}
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and discontinuous component using estimators which are not only consistent, but also scarcely plagued by small-sample bias. To this purpose, we introduce the concept of threshold bipower variation, which is based on the joint use of bipower variation and… CONTINUE READING