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 …

returns and changes of volatility. It is more challenging to establish such a return-volatility relationship for jumps in high … between contemporaneous jumps in prices and volatility. The methods are robust to market microstructure noise and build on a …, however, that there is a strong and significant discontinuous leverage effect if one conditions on the sign of price jumps and …