variance into several investment horizons and jumps. Basing our estimator in the two-scale realized variance framework, we are … processes including long memory fractional stochastic volatility model. The results reveal that our wavelet-based estimator is … to study the volatility of forex futures during the recent crisis at several investment horizons and obtain the results …

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …

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 …