The volatility of financial returns is characterized by rapid and large increments. We propose an extension of the Heterogeneous Autoregressive model to incorporate jumps into the dynamics of the ex-post volatility measures. Using the realized-range measures of 36 NYSE stocks, we show that there...

This paper investigates long-run dependencies of volatility and volume, supposing that are driven by the same informative process. Log-realized volatility and log-volume are characterized by upper and lower tail dependence, where the positive tail dependence is mainly due to the jump component....

A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is driven by a fractional Brownian motion, the integrated variance is characterized by long-range dependence. As a consequence, the realized variance inherits this property when prices are...

We analyze the properties of the indirect inference estimator when the observed series are contaminated by measurement error. We show that the indirect inference estimates are asymptotically biased when the nuisance parameters of the measurement error distribution are neglected in the indirect...

The realized volatility of financial returns is characterized by persistence and occurrence of unpredictable large increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is included in the multiplicative specification, the...

During the last decades a wide literature has focused on the relationship volume-volatility on financial markets. This paper investigates the temporal dynamics of volatility and volumes, supposing, as in Bollerslev and Jubinsky (1999), that the link has to be found in their long-run...