Asset prices are stale. We define a measure of systematic (market-wide) staleness as the percentage of small price adjustments over multiple assets. A notion of idiosyncratic (asset-specific) staleness is also established. For both systematic and idiosyncratic staleness, we provide a limit...

Asset prices can be stale. We define price “staleness” as lack of price adjustments yielding zero returns (i.e., zeros). The term “idleness” (resp. “near idleness”) is, instead, used to define staleness when trading activity is absent (resp. close to absent). Using statistical and...

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is correctly separated into its continuous and discontinuous component. To this purpose, we...

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and discontinuous component using estimators which are not...