In this paper, we investigate jump spillover effects of five energy (petroleum) futures and their implications for … approach to estimate a jump-diffusion model for each. We examine the simultaneous jump intensities of pairs of energy futures … futures. In all cases, we find significant evidence that the diffusion-jump process is a better characterization for energy …

propose a method of estimating the return volatility when the price process is described by a fractal Brownian motion with …

individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of …We study the volume–volatility relation by splitting volume into the number of trades and the average trade size at … trades is the most important variable driving realized volatility. The number of trades by the individual investors carries …

volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and … testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps … analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side …

volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and … testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps … analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side …

volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and … testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps … analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side …

a multifactor volatility model also eliminates the need to include a jump component, the existence of which would create …This paper seeks to estimate a multifactor volatility model so as to describe the dynamics of interest rate markets …