Doung, Diep; Swanson, Norman R. - 2011
We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Ai͏̈t-Sahalia and Jacod (2009a,b,c) to examine the importance of jumps, and in particular "large" and "small" jumps, using high frequency price returns on 25 stocks in the DOW 30 and S&P futures index....
