Jumps are large and fast price movements in asset prices, which cannot be explained by traditional Brownian motion in models for stock price dynamics. In equity prices, jumps are often caused for example by significant macroeconomic or company-specific announcements. Recent financial literature has immensely studied jumps and methodologies to detect them, especially in high-frequency data. An important aspect in determining whether the price has jumped or not is the market spot volatility at the moment of the large price movement. Since spot volatility is not directly observable, multiple ways in estimating it has been suggested in literature. Existing jump detection methodologies often use historical realized variation as a proxy for spot ...
We propose a novel approach to decompose realized jump measures by type of activity (finite/infinite...
There is a growing literature on the realized volatility (View the MathML source) forecasting of ass...
The contribution of this paper is two-fold. First we show how to estimate the volatility of high fre...
Jumps are large and fast price movements in asset prices, which cannot be explained by traditional B...
The objective of this study is to examine if jumps in index prices affect the implied volatility smi...
The article undertakes a nonparametric analysis of the high-frequency movements in stock market vola...
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a pos...
The contribution of this paper is two-fold. First we show how to estimate the volatility of high fr...
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a pos...
This thesis consists of three research topics, which together study the related topics of volatility...
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its vol...
Concerning price processes, the fact that the volatility is not constant has been ob-served for a lo...
High‐frequency jump tests are applied to the prices of both futures contracts and their options, to ...
This paper comprehensively investigates the role of realized jumps detected from high frequency data...
"This paper extends the jump detection method based on bi-power variation to identify realized jumps...
We propose a novel approach to decompose realized jump measures by type of activity (finite/infinite...
There is a growing literature on the realized volatility (View the MathML source) forecasting of ass...
The contribution of this paper is two-fold. First we show how to estimate the volatility of high fre...
Jumps are large and fast price movements in asset prices, which cannot be explained by traditional B...
The objective of this study is to examine if jumps in index prices affect the implied volatility smi...
The article undertakes a nonparametric analysis of the high-frequency movements in stock market vola...
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a pos...
The contribution of this paper is two-fold. First we show how to estimate the volatility of high fr...
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a pos...
This thesis consists of three research topics, which together study the related topics of volatility...
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its vol...
Concerning price processes, the fact that the volatility is not constant has been ob-served for a lo...
High‐frequency jump tests are applied to the prices of both futures contracts and their options, to ...
This paper comprehensively investigates the role of realized jumps detected from high frequency data...
"This paper extends the jump detection method based on bi-power variation to identify realized jumps...
We propose a novel approach to decompose realized jump measures by type of activity (finite/infinite...
There is a growing literature on the realized volatility (View the MathML source) forecasting of ass...
The contribution of this paper is two-fold. First we show how to estimate the volatility of high fre...