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 predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

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 predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

,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 particular, we examine jumps from both the perspective of their contribution … of jumps in around 22.8% of the days during the 1993-2000 period, and in 9.4% of the days during the 2001-2008 period …

variables. We then provide empirical evidence on "small" and "large" jumps from the perspective of their contribution to overall …, Bollerslev and Diebold (2007) and Aït-Sahalia and Jacod (2009a,b,c). Evidence of jumps is found in around 22.8% of the days … role of jumps is lessening, the role of large jumps has not decreased, and indeed, the relative role of large jumps, as a …

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in … the financial econometrics literature. These tests differ from 'long time span tests' that detect jumps by examining the … implications of these findings, and 'time-span robust' tests indicate that the prevalence of jumps is not as universal as might be …

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in … the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the … these findings, and “time-span robust” tests indicate that the prevalence of jumps is not as universal as might be expected. …

/2 of the time in 4 of 6 different sample periods. Ancillary findings based on our forecasting experiments underscore the …