with in-fill asymptotic arguments for uniquely identifying the "large" jumps from the data. The estimation allows for very …

idiosyncratic jumps, together with conventional long-span asymptotics and Extreme Value Theory (EVT) approximations for consistently … portfolio, we find that the distributions of the systematic and idiosyncratic jumps are both generally heavy-tailed and not … necessarily symmetric. Our estimates also point to the existence of strong dependencies between the market-wide jumps and the …

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

the first-order asymptotic validity of this method in the multivariate context with a potential presence of jumps …

probability measure from "medium" size jumps in high-frequency intraday prices and an extreme value theory approximation for the …

This paper studies the impact of jumps on volatility estimation and inference based on various realised variation … realised variance in the presence of jumps. Next, we compare the finite sample performance of the various estimators by means … of detailed Monte Carlo studies where we study the impact of the jump activity, the jump size of the jumps in the price …

multipower variation in the presence of jumps. Second, this paper presents new, consistent estimators for the jump part of the …