Vortelinos, Dimitrios I.; Thomakos, Dimitrios D. - In: Applied Financial Economics 22 (2012) 2, pp. 97-112
We test for and model the volatility jumps for three major indices of the Athens Stock Exchange (ASE). Using intra-day data we first construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various...