international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various … effects of jumps on volatility. Our results expand and complement the previous literature on the nonparametric realized … volatility estimation in terms of volatility jumps being examined and modeled for the international equity market, using such a …

jumps on volatility are assessed by the use of the class of Heterogeneous Autoregressive (HAR) models. …