Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
利用正负收益的波动估计量（已实现半方差）和标普500指数及105只个股的高频数据，发现未来波动与过去负收益的波动关系更强，且价格跳跃的符号影响未来波动方向，据此改进的模型显著提升样本外预测表现。
Using estimators of the variation of positive and negative returns (realized semivariances) and high-frequency data for the S&P 500 Index and 105 individual stocks, this paper sheds new light on the predictability of equity price volatility. We show that future volatility is more strongly related to the volatility of past negative returns than to that of positive returns and that the impact of a price jump on volatility depends on the sign of the jump, with negative (positive) jumps leading to higher (lower) future volatility. We show that models exploiting these findings lead to significantly better out-of-sample forecast performance.