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Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

Citations

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Cited by:

  1. Hizmeri, Rodrigo & Izzeldin, Marwan & Urga, Giovanni, 2025. "Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes," Journal of Empirical Finance, Elsevier, vol. 81(C).
  2. Kim Christensen & Roel Oomen & Roberto Renò, 2016. "The Drift Burst Hypothesis," CREATES Research Papers 2016-28, Department of Economics and Business Economics, Aarhus University.
  3. Hassan Zada & Huma Maqsood & Shakeel Ahmed & Muhammad Zeb Khan, 2023. "Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia," SN Business & Economics, Springer, vol. 3(1), pages 1-22, January.
  4. Ao Kong & Hongliang Zhu & Robert Azencott, 2021. "Predicting intraday jumps in stock prices using liquidity measures and technical indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 416-438, April.
  5. Nabil Bouamara & Kris Boudt & S'ebastien Laurent & Christopher J. Neely, 2023. "Sluggish news reactions: A combinatorial approach for synchronizing stock jumps," Papers 2309.15705, arXiv.org.
  6. Cao, Wenbin & Guernsey, Scott B. & Linn, Scott C., 2018. "Evidence of infinite and finite jump processes in commodity futures prices: Crude oil and natural gas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 629-641.
  7. Ulyah, Siti Maghfirotul & Lin, Xenos Chang-Shuo & Miao, Daniel Wei-Chung, 2018. "Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps," Finance Research Letters, Elsevier, vol. 24(C), pages 113-128.
  8. Christensen, Kim & Timmermann, Allan & Veliyev, Bezirgen, 2025. "Warp speed price moves: Jumps after earnings announcements," Journal of Financial Economics, Elsevier, vol. 167(C).
  9. Massimiliano Caporin & Francesco Poli, 2017. "Building News Measures from Textual Data and an Application to Volatility Forecasting," Econometrics, MDPI, vol. 5(3), pages 1-46, August.
  10. Ziyang Xiong & Zhao Chen & Christina Dan Wang, 2025. "Holistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise," Papers 2505.08654, arXiv.org, revised Feb 2026.
  11. Usman Arief & Zaäfri Ananto Husodo, 2021. "Private Information from Extreme Price Movements (Empirical Evidences from Southeast Asia Countries)," International Symposia in Economic Theory and Econometrics, in: Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics, volume 28, pages 221-242, Emerald Group Publishing Limited.
  12. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
  13. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017. "Systemic co-jumps," Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
  14. Xiao, Yuewen & Zhao, Jing, 2021. "Price dynamics of individual stocks: Jumps and information," Finance Research Letters, Elsevier, vol. 38(C).
  15. Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2020. "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Economic Modelling, Elsevier, vol. 85(C), pages 57-73.
  16. Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.
  17. Christensen, Kim & Oomen, Roel & Renò, Roberto, 2022. "The drift burst hypothesis," Journal of Econometrics, Elsevier, vol. 227(2), pages 461-497.
  18. repec:cam:camjip:2423 is not listed on IDEAS
  19. Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Testing for Multi-Asset Systemic Tail Risk," Working Papers 2023-016, Federal Reserve Bank of St. Louis, revised 29 May 2026.
  20. Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2020. "High-Frequency Jump Analysis of the Bitcoin Market," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 209-232.
  21. Li, Qiyuan & Li, Yifan & Nolte, Ingmar & Nolte, Sandra & Yu, Shifan, 2026. "Testing for jumps in a discretely observed price process with endogenous sampling times," Journal of Econometrics, Elsevier, vol. 254(PA).
  22. Caporin, Massimiliano & Poli, Francesco, 2022. "News and intraday jumps: Evidence from regularization and class imbalance," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  23. Ao Kong & Hongliang Zhu & Robert Azencott, 2019. "Predicting intraday jumps in stock prices using liquidity measures and technical indicators," Papers 1912.07165, arXiv.org.
  24. Jiqian Wang & Feng Ma & M.I.M. Wahab & Dengshi Huang, 2021. "Forecasting China's Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 921-941, August.
  25. Aysan, Ahmet Faruk & Caporin, Massimiliano & Cepni, Oguzhan, 2024. "Not all words are equal: Sentiment and jumps in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  26. Simon Scheidegger & Adrien Treccani, 2021. "Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations [Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]," Journal of Financial Econometrics, Oxford University Press, vol. 19(2), pages 258-290.
  27. Zhang, Zehua & Zhao, Ran, 2023. "Good volatility, bad volatility, and the cross section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
  28. Azra Zaimovic & Adna Omanovic & Almira Arnaut-Berilo, 2021. "How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature," JRFM, MDPI, vol. 14(11), pages 1-30, November.
  29. Anabelle Couleau & Teresa Serra & Philip Garcia, 2020. "Are Corn Futures Prices Getting “Jumpy”?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(2), pages 569-588, March.
  30. Fabozzi, Frank J. & Recchioni, Maria Cristina & Renò, Roberto, 2025. "Fifty years at the interface between financial modeling and operations research," European Journal of Operational Research, Elsevier, vol. 327(1), pages 1-21.
  31. Yingjie Dong & Yiu-Kuen Tse, 2017. "Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility," Econometrics, MDPI, vol. 5(4), pages 1-19, November.
  32. Kim Christensen & Roel Oomen & Roberto Renò, 2018. "The drift burst hypothesis," CREATES Research Papers 2018-21, Department of Economics and Business Economics, Aarhus University.
  33. Nunes, João Pedro Vidal & Ruas, João Pedro, 2024. "A note on the Gumbel convergence for the Lee and Mykland jump tests," Finance Research Letters, Elsevier, vol. 59(C).
  34. Bian, Siyu & Serra, Teresa & Garcia, Philip & Irwin, Scott, 2022. "New evidence on market response to public announcements in the presence of microstructure noise," European Journal of Operational Research, Elsevier, vol. 298(2), pages 785-800.
  35. Yi, Chae-Deug, 2026. "Volatility and jumps in the Chinese Yuan using Gumbel distribution during the trade war and COVID-19 pandemic," Journal of Empirical Finance, Elsevier, vol. 85(C).
  36. Mark Davis & Sébastien Lleo, 2024. "Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data," Annals of Operations Research, Springer, vol. 336(1), pages 661-689, May.
  37. Nabil Bouamara & S'ebastien Laurent & Shuping Shi, 2023. "Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications," Papers 2303.13406, arXiv.org, revised Jun 2023.
  38. Li, Yifan & Nolte, Ingmar & Nolte, Sandra & Yu, Shifan, 2025. "Realized candlestick wicks," Journal of Econometrics, Elsevier, vol. 250(C).
  39. Li, Xiafei & Liao, Yin & Lu, Xinjie & Ma, Feng, 2022. "An oil futures volatility forecast perspective on the selection of high-frequency jump tests," Energy Economics, Elsevier, vol. 116(C).
  40. Hassan Zada & Arshad Hassan & Wing-Keung Wong, 2021. "Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets," Economies, MDPI, vol. 9(2), pages 1-26, June.
  41. Bo Yu & Bruce Mizrach & Norman R. Swanson, 2020. "New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section," Econometrics, MDPI, vol. 8(2), pages 1-52, May.
  42. Zhao, X. & Hong, S. Y. & Linton, O. B., 2024. "Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach," Cambridge Working Papers in Economics 2449, Faculty of Economics, University of Cambridge.
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