Caporin, Massimiliano; Rossi, Eduardo; Magistris, Paolo … - Dipartimento di Scienze Economiche "Marco Fanno", … - 2011
by a pure diffusive process for stochastic volatility. On the contrary jumps in volatility are important because they … estimating the presence of jumps in volatility, using the realized-range measure as a volatility proxy. By focusing on a set of … a positive probability of jumps in volatility, conditional on the past information set. We then focus on the …