-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized … variance into several investment horizons and jumps. Basing our estimator in the two-scale realized variance framework, we are …

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little … digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading … volume seasonalities. Regressions show that intra-day jumps significantly influence end of day returns in size and direction …