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  • Realized volatility transmission: The role of jumps and leverage effects

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    Author(s)
    Soucek, Michael
    Todorova, Neda
    Griffith University Author(s)
    Todorova, Neda
    Year published
    2014
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    Abstract
    This paper is the first to employ a multivariate extension of the LHAR-CJ model for realized volatility of Corsi and Ren㠨2012) considering continuous and jump volatility components and leverage effects. The model is applied to financial (S&P 500), commodity (WTI crude oil) and forex (US$/EUR) intraday futures data and allows new insights in the transmission mechanisms among these markets. Besides significant leverage effects, we find that the jump components of all considered assets do not contain incremental information for the one-step ahead realized volatility. The volatility of S&P 500 and US$/EUR exchange rate futures ...
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    This paper is the first to employ a multivariate extension of the LHAR-CJ model for realized volatility of Corsi and Ren㠨2012) considering continuous and jump volatility components and leverage effects. The model is applied to financial (S&P 500), commodity (WTI crude oil) and forex (US$/EUR) intraday futures data and allows new insights in the transmission mechanisms among these markets. Besides significant leverage effects, we find that the jump components of all considered assets do not contain incremental information for the one-step ahead realized volatility. The volatility of S&P 500 and US$/EUR exchange rate futures exhibits significant spillovers to the realized volatility of WTI. Moreover, decreasing equity prices appear to increase volatility in other markets, while strengthening of the US$ seems to calm down the crude oil market.
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    Journal Title
    Economics Letters
    Volume
    122
    Issue
    2
    DOI
    https://doi.org/10.1016/j.econlet.2013.11.007
    Copyright Statement
    © 2014 Elsevier B.V.. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Economics
    Financial economics
    Finance
    Publication URI
    http://hdl.handle.net/10072/63865
    Collection
    • Journal articles

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