The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets

DOI10.1080/07474938.2014.976529zbMath1491.62151OpenAlexW3123582285MaRDI QIDQ5863642

Dimitrios Karyampas, Álvaro Cartea

Publication date: 3 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/5903

zbMATH Keywords

jumpshigh-frequency dataimplied volatilitymicrostructure noiseVIXvolatility forecasts

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis
• A Tale of Two Time Scales

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