We discuss moving window techniques for fast extraction of a signal comprising monotonic trends and abrupt shifts from …

impact of jumps due to a recently proposed jump wavelet two scale realized volatility estimator. We propose a realized Jump …

. We propose an approximation method that replaces the jumps by a diffusion and solve the resulting problem analytically …

asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in …

Stock returns are characterized by extreme observations, jumps that would not occur under the smooth variation of a … Gaussian process. We find that jumps are prevalent in most countries. This has been little investigation of whether the jumps … diversification is less effective when jumps are frequent, unpredictable and strongly correlated. Public supervisors may also mind …

jumps over a grid of thresholds and selects the optimal threshold at what we term the 'take-off' point in the estimated … number of jumps. We show that this method consistently estimates the jumps and their indices as the sampling interval goes to … jumps and its ability to distinguish between true jumps and large diffusive moves. In one of these Monte Carlo studies we …