, apply it to exchange rate data, and illustrate how to conduct forecast comparisons. I finally turn to the estimation of jump … risk by extracting bipower variation. …

. Using estimators of the jump and cojump components of security prices, I determine that: (1) jump risk was rising throughout … to 40% of the jump risk in the AAA rated ABX index and 24% in the BBB-; (3) The jump risk between the ABX and housing … futures market is inversely related; (4) the slope of the housing futures term structure is significantly related to the jump …

options & returns and only returns. In particular, we focus on the role of the time-varying jump risk premia. Particle filters … resolved by the introduction of the time-varying jump risk premia. For density forecasts, the time-varying jump risk premia …

attributed to classic risk factors or fear of jump risk, we find that conditional premiums remain significantly negative. However …

&P 500 stock index and its associated option contracts. In particular, we investigate the role of time-varying jump risk … premia in the AJD specifications. Our empirical analysis shows strong evidence in favor of time-varying jump risk premia in … pricing cross-sectional options. We also find that, during a period of low volatility, the role of jump risk premia becomes …