In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time … method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model …

metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six … international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various … effects of jumps on volatility. Our results expand and complement the previous literature on the nonparametric realized …