to overall realized variation and their contribution to predictive regressions of realized volatility. We find evidence …

density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters … turn facilitating consistent estimation of jump diffusion models. A "self excitement" test is also introduced, which is …

estimation reveals point estimates of the share of efficient separations below 4%, with confidence intervals rejecting shares …

We propose a joint modeling strategy for timing the joint distribution of the returns and their volatility. We do this … volatility, allowing for asymmetric cross-correlations, denoted as instantaneous leverage effects, in addition to cross …-autocorrelations between returns and volatility, denoted as intertemporal leverage effects. We show that while the conventional intertemporal …