The contribution of jump signs and activity to forecasting stock price volatility

C-Tier

Journal: Journal of Empirical Finance

Year: 2023

Volume: 70

Issue: C

Pages: 144-164

Authors (5)

Bu, Ruijun (not in RePEc) Hizmeri, Rodrigo (not in RePEc) Izzeldin, Marwan (not in RePEc) Murphy, Anthony (not in RePEc) Tsionas, Mike

Score contribution per author:

0.202 = (α=2.02 / 5 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count