Sévi, Benoît; Baena, César - In: Economics Bulletin 31 (2011) 4, pp. 3138-3152
Using recent activity signature function methodology developed in Todorov and Tauchen (2010), we provide empirical evidence that individual stocks from the New York Stock Exchange are adequately represented by a Brownian motion plus medium to large (rare) jumps thus invalidating the pure-jump...