Zada, Hassan; Hassan, Arshad; Wong, Wing Keung - In: Economies : open access journal 9 (2021) 2, pp. 1-26
purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for …In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this … jumps. In emerging markets, the markets with average volatility earn higher returns during jump periods; however, highly …