. Our estimates are based on in-fill asymptotics for directly identifying the jumps, together with Extreme Value Theory (EVT … that the distributions of the systematic and idiosyncratic jumps are both generally heavy-tailed and close to symmetric …

jumps in asset value or stochastic volatility challenge the robustness of DD. We propose a volatility adjustment of the …

of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized … on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility … models can largely improve VaR prediction, especially for emerging markets where jumps play a stronger role than those in …

We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps …