of unknown order. The estimators follow from a reverse inference approach, based on the class of distribution-free sign …

that it generalizes standard stochastic volatility models by allowing for "jumps"" and other fat-tailed negative movements … in stock returns. The empirical results therefore also demonstrate the importance of jumps for the pricing of out …

Realized variance can be broken down into continuous volatility and jumps. We show that these two components have very … medium to long-term risk-return relationships, jumps do not predict future medium- to long-term excess returns. We use … inference methods robust to persistent predictors in a multi-horizon setup. That is, we use a rescaled Student-t to test for …

random intensity jumps. Previous studies have focussed primarily on pure jump processes with constant intensity and log …-normal jumps or constant jump intensity combined with a one factor stochastic volatility model. We introduce several …