Izzeldin, Marwan; Shi, Peiran - Department of Economics, Management School - 2013
We investigate, using a number of econometric tools, the impact of jumps on the stylised facts of returns and volatility. We look at 100 stocks, representing 10 sectors over the period 2000-2010. We find that jumps had little or no impact on the stylised facts of returns and volatility. The...