This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as...

We propose a new test to determine whether jumps are present in asset returns or other discretelly sampled processses. As the sampling interval tends to 0, our test statistic converges to 1 if there are jumps, and to another deterministic and known value (such as 2) if there are no jumps. The...

This paper is devoted to giving simpler proofs of the two fundamental theorems of asset pricing theory, in discrete-time and finite horizon: namely the no-arbitrage theorem, and the market completeness theorem. Some elementary but apparently new results are also given on discrete-time martingale...

In this paper we consider the valuation of an option with time to expiration T and pay-off function g which is a convex function (as is a European call option), and constant interest rate r, in the case where the underlying model for stock prices (S_t) is a purely discontinuous process (hence...

We develop and implement asymptotic theory to conduct inference on continuous-time asset pricing models using individual equity returns sampled at high frequencies over an increasing time horizon. We study the identification and estimation of risk premia for the continuous and jump components of...

We develop a volatility estimator that can be directly applied to tick-by-tick data. More specifically, we consider a model that allows for (i) irregular observation times that can be endogenous, (ii) dependent noise that can have diurnal features and be dependent on the latent price process,...

We study the estimation of (joint) moments of microstructure noise based on high frequency data. The estimation is conducted under a nonparametric setting, which allows the underlying price process to have jumps, the observation times to be irregularly spaced, \emph{and} the noise to be...

This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the...

This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility - in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the...