This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional...

We propose a new nonparametric test to identify mutually exciting jumps in high frequency data. We derive the asymptotic properties of the test statistics and show that the tests have good size and reasonable power in finite sample cases. Using our mutual excitation tests, we empirically...

The asset allocation decision often relies upon correlation estimates arising from short-run data. Short-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation estimator, distinguishing between long-run common behavior...

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps...

We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the...

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot which minimizes the micro-structure...

Following Shimko (1993), a large amount of research has evolved around the problem of extracting risk neutral densities from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use variants of the cubic spline. These methods have the...

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility forecasting accuracy. Additionally, we explore the...

This paper investigates the predictability of jumps in currency markets and shows the implications for carry trades. Formulating new currency jump analyses, we propose a general method to estimate the determinants of jump sizes and intensities. We employ a large panel of high-frequency data to...