large (rare) jumps thus invalidating the pure-jump process hypothesis proposed in numerous contributions. This result …

returns and risk is not validated for recent years. Our second contribution is to assess the importance of disentangling jumps … obtained using either realized variance or an alternative measure of realized variance which is robust to jumps thereby … providing evidence that jumps do not improve significantly the explanatory power in the risk-return relation. …

continuous or discontinuous part (jumps). We show the importance of these decompositions in predictive (in-sample) regressions …

of returns at horizons up to sixty days. We extract jumps as in Andersen, Bollerslev, Frederiksen and Nielsen (2010) to … have a measure of the jumps in returns. Then, we estimate a bivariate model of returns and volatilities where the jump …

of returns at horizons up to sixty days. We extract jumps as in Andersen, Bollerslev, Frederiksen and Nielsen (2010) to … have a measure of the jumps in returns. Then, we estimate a bivariate model of returns and volatilities where the jump …