We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990 … different implications for the impact of jumps on exchange rate volatility transmission. Specifically, isolated and successive … jumps have opposite predictions for future volatility. Although the realized volatility literature finds that heat wave …

assumptions of jumps in prices and leverage effects for volatility. Findings suggest that daily-data models are preferred to HF …-data models at 5% and 1% VaR level. Specifically, independently from the data frequency, allowing for jumps in price (or providing …

assumptions of jumps in prices and leverage effects for volatility. Findings suggest that daily-data models are preferred to HF …-data models at 5% and 1% VaR level. Specifically, independently from the data frequency, allowing for jumps in price (or providing …

of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized … on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility … models can largely improve VaR prediction, especially for emerging markets where jumps play a stronger role than those in …

We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps …

random jumps. The common factor is parameterized as a permanent component using a compound binomial process. This model can … capture common jumps in the latent volatilities between markets, with particular relevance in the presence of crises and …