with in-fill asymptotic arguments for uniquely identifying the \large" jumps from the data. The estimation allows for very …

with in-fill asymptotic arguments for uniquely identifying the "large" jumps from the data. The estimation allows for very …

idiosyncratic jumps, together with conventional long-span asymptotics and Extreme Value Theory (EVT) approximations for consistently … portfolio, we find that the distributions of the systematic and idiosyncratic jumps are both generally heavy-tailed and not … necessarily symmetric. Our estimates also point to the existence of strong dependencies between the market-wide jumps and the …

. Our estimates are based on in-fill asymptotics for directly identifying the jumps, together with Extreme Value Theory (EVT … that the distributions of the systematic and idiosyncratic jumps are both generally heavy-tailed and close to symmetric …

price variation and jumps. This paper proposes a tobit multivariate factor model for the jumps coupled with a standard …

jumps in asset value or stochastic volatility challenge the robustness of DD. We propose a volatility adjustment of the …