In this paper, we demonstrate that jumps in financial asset prices are not nearly as common as generally thought, and that they account for only a very small proportion of total return variation. We base our investigation on an extensive set of ultra high-frequency equity and foreign exchange...

In this paper, we propose a new jump robust quantile-based realised variancemeasure of ex-post return variation that can be computed using potentially noisy data. This new estimator is consistent for integrated variance and we present feasible central limit theorems which show that it converges...

In this paper, we present a realised range-based multipower variation theory, which can be used to estimate return variation and draw jump-robust inference about the diffusive volatility component, when a high-frequency record of asset prices is available. The standard range-statistic –...

In this paper, we show how simple pre-averaging can be applied to measure the ex-post covariance of high-frequency financial time series under market microstructure noise and non-synchronous trading. A modulated realised covariance based on pre-averaged data is proposed and studied in this...

This paper investigates long-run dependencies of volatility and volume, supposing that are driven by the same informative process. Log-realized volatility and log-volume are characterized by upper and lower tail dependence, where the positive tail dependence is mainly due to the jump component....

We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization to the...

We analyze the properties of the indirect inference estimator when the observed series are contaminated by measurement error. We show that the indirect inference estimates are asymptotically biased when the nuisance parameters of the measurement error distribution are neglected in the indirect...