We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps …-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …

estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …

noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined … parameter and average jumps size reveals that the characteristics of the dataset are crucial to determine which is the proper …

This paper introduces new econometric tests to identify stochastic intensity jumps in high-frequency data. Our approach … S&P 500 exchange-traded fund (ETF) data, we find strong evidence for the presence of intensity jumps surrounding the … scheduled Federal Open Market Committee (FOMC) policy announcements. Intensity jumps occur very frequently, trigger sharp …