decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …

recently. - Horizontal dependence of volatility: Volatility is not constant, it is mean-reverting and it tends to cluster … (meaning that high volatility is likely to be followed by high volatility periods, and vice-versa). Moreover, volatility … theory - stated differently, the returns distribution has fat tails. Moreover, shocks have a strong impact on volatility and …

series from 21 international market indices, the findings support the predictions of the risk premium, volatility feedback … and statistical balance. However, little support is found for the short-memory-volatility-component risk premium. It is …

virtually any stochastic volatility model model can be approximated arbitrarily well by a carefully chosen continuous time … illustrates these contributions of the paper, estimating a stochastic volatility jump diffusion model …