price variation and jumps. This paper proposes a tobit multivariate factor model for the jumps coupled with a standard …

Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a … integrated volatility and price jumps, to the specified model components; with Bayesian inference conducted using a Markov chain …

How often do jumps or price discontinuities occur on energy markets? What is the dynamics of the energy market …, by proposing a novel Cumulative Sentiment Index applied to the analysis of the detected jumps in returns. Our findings … confirm previous studies that jumps are the common feature for all energy commodities studied. For some commodities such as …

This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize … statistic to detect common large discrete movements (co-jumps). We study the finite sample behavior of our first …-high-low-last price based test identifies more common jumps than the return-based test in this emerging market. …