英文文献：Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps
英文文献作者：Yin Liao,Heather Anderson,Farshid Vahid
英文文献摘要：
Realized volatility of stock returns is often decomposed into two distinct components that are attributed to continuous price variation and jumps. This paper proposes a tobit multivariate factor model for the jumps coupled with a standard multivariate factor model for the continuous sample path to jointly forecast volatility in three Chinese Mainland stocks. Out of sample forecast analysis shows that separate multivariate factor models for the two volatility processes outperform a single multivariate factor model of realized volatility, and that a single multivariate factor model of realized volatility outperforms univariate models.