digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little … volume seasonalities. Regressions show that intra-day jumps significantly influence end of day returns in size and direction …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …