This article develops a new conditional jump model to study jump dynamics in stock market
returns. We propose a simple filter to infer ex post the distribution of jumps. This permits …

This paper models components of the return distribution, which are assumed to be directed
by a latent news process. The conditional variance of returns is a combination of jumps and …

This paper proposes asymmetric GARCH-Jump models that synthesize autoregressive jump
intensities and volatility feedback in the jump component. Our results indicate that these …

We examine tests for jumps based on recent asymptotic results; we interpret the tests as
Hausman-type tests. Monte Carlo evidence suggests that the daily ratio z-statistic has …

The simultaneous occurrence of jumps in several stocks can be associated with major
financial news, triggers short-term predictability in stock returns, is correlated with sudden …

This paper extends the jump detection method based on bipower variation to identify
realized jumps on financial markets and to estimate parametrically the jump intensity, mean …

This article introduces a new nonparametric test to detect jump arrival times and realized
jump sizes in asset prices up to the intra-day level. We demonstrate that the likelihood of …

This paper examines continuous‐time stochastic volatility models incorporating jumps in
returns and volatility. We develop a likelihood‐based estimation strategy and provide …

We develop econometric tools for studying jump dependence of two processes from high‐
frequency observations on a fixed time interval. In this context, only segments of data around …

We propose a new and flexible nonparametric framework for estimating the jump tails of Itô
semimartingale processes. The approach is based on a relatively simple‐to‐implement set …