We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE).Using intraday data we rst construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various tests on...

Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series properties of the realized volatility series and on...