with in-fill asymptotic arguments for uniquely identifying the \large" jumps from the data. The estimation allows for very …

with in-fill asymptotic arguments for uniquely identifying the "large" jumps from the data. The estimation allows for very …

idiosyncratic jumps, together with conventional long-span asymptotics and Extreme Value Theory (EVT) approximations for consistently … portfolio, we find that the distributions of the systematic and idiosyncratic jumps are both generally heavy-tailed and not … necessarily symmetric. Our estimates also point to the existence of strong dependencies between the market-wide jumps and the …

financial assets. We analyze results from a Monte Carlo simulation which point to the conclusion that the multitude of jumps …

. Our estimates are based on in-fill asymptotics for directly identifying the jumps, together with Extreme Value Theory (EVT … that the distributions of the systematic and idiosyncratic jumps are both generally heavy-tailed and close to symmetric …

The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short …

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich …, time and space amplification of jumps in option markets. We develop a semi-parametric estimation procedure employing a …

The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short …

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich …, time and space amplification of jumps in option markets. We develop a semi-parametric estimation procedure employing a …

We develop a new method that detects jumps nonparametrically in financial time series and significantly outperforms the … generated by a process that experiences both jumps and volatility bursts. As a result, the network learns how to disentangle the …: we obtain fewer spurious detection and identify a larger number of true jumps. When applied to real data, our approach …