robust to price-level jumps and generally has good finite sample properties. The method entails first integrating intra … fitting volatility model is a non-diffusive two-factor model where low activity jumps drive its persistent component and more … active jumps drive the transient one. …

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

robust to jumps and when the process is pure-jump it is robust to presence of less active jumps. We apply our results to …

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 …

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 …

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 …