We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes … the jump measure, or its "intensity", that only utilizes the weak assumption of regular variation in the jump tails, along … general dynamic dependencies in the jump tails, and does not restrict the continuous part of the process and the temporal …

We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes … the jump measure, or its "intensity", that only utilizes the weak assumption of regular variation in the jump tails, along … general dynamic dependencies in the jump tails, and does not restrict the continuous part of the process and the temporal …

corresponding systematic jump tails for all of the stocks in the sample. We also show how the jump tail dependencies deduced from …

We develop new methods for the estimation of time-varying risk-neutral jump tails in asset returns. In contrast to … the shape and the magnitude of the jump tails to the underlying return variation through the formulation of simple time …