Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a number of recent papers have addressed volatility...

We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Aït-Sahalia and Jacod (2009a,b,c) to examine the importance of jumps, and in particular large and small jumps, using high frequency price returns on 25 stocks in the DOW 30 and S&P futures index. In...

The topic of volatility measurement and estimation is central to financial and more generally time series econometrics. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical findings from the literature. In...