noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined … parameter and average jumps size reveals that the characteristics of the dataset are crucial to determine which is the proper …

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of …

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 …