Before revision:  A carefully designed sequential Monte Carlo algorithm provides out-of-sample empirical evidence that our suggested model outperforms, with respect to predictive Bayes factors, modelsthat do not exploit the panel structure of stocks .
After revision:  A carefully designed sequential Monte Carlo algorithm provides out-of-sample forecasts and we compare the posterior predictive distributions obtained from the different models. We provide evidence that joint modelling of jumps improves the predictive ability of the stochastic volatility models .