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Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

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Cited by:

  1. Y. Dolinsky & H. M. Soner, 2014. "Martingale optimal transport in the Skorokhod space," Papers 1404.1516, arXiv.org, revised Feb 2015.
  2. Deniz Erdemlioglu & Nikola Gradojevic, 2021. "Heterogeneous investment horizons, risk regimes, and realized jumps," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 617-643, January.
  3. Asai, Manabu & Gupta, Rangan & McAleer, Michael, 2020. "Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks," International Journal of Forecasting, Elsevier, vol. 36(3), pages 933-948.
  4. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017. "Systemic co-jumps," Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
  5. Kolokolov, Aleksey & Livieri, Giulia & Pirino, Davide, 2020. "Statistical inferences for price staleness," Journal of Econometrics, Elsevier, vol. 218(1), pages 32-81.
  6. Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Energies, MDPI, vol. 12(17), pages 1-17, September.
  7. Bu, Ruijun & Hizmeri, Rodrigo & Izzeldin, Marwan & Murphy, Anthony & Tsionas, Mike, 2023. "The contribution of jump signs and activity to forecasting stock price volatility," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 144-164.
  8. Christensen, K. & Podolskij, M. & Thamrongrat, N. & Veliyev, B., 2017. "Inference from high-frequency data: A subsampling approach," Journal of Econometrics, Elsevier, vol. 197(2), pages 245-272.
  9. Aït-Sahalia, Yacine & Xiu, Dacheng, 2019. "A Hausman test for the presence of market microstructure noise in high frequency data," Journal of Econometrics, Elsevier, vol. 211(1), pages 176-205.
  10. Christoffersen, Peter & Feunou, Bruno & Jeon, Yoontae, 2015. "Option valuation with observable volatility and jump dynamics," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 101-120.
  11. Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye, 2018. "Testing for mutually exciting jumps and financial flights in high frequency data," Journal of Econometrics, Elsevier, vol. 202(1), pages 18-44.
  12. Gurdip Bakshi & John Crosby & Xiaohui Gao, 2023. "Dark Matter in (Volatility and) Equity Option Risk Premiums," Papers 2303.16371, arXiv.org.
  13. Ilze Kalnina & Dacheng Xiu, 2017. "Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 384-396, January.
  14. Manabu Asai & Michael McAleer, 2017. "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
  15. Barunik, Jozef & Vacha, Lukas, 2018. "Do co-jumps impact correlations in currency markets?," Journal of Financial Markets, Elsevier, vol. 37(C), pages 97-119.
  16. Hounyo, Ulrich & Varneskov, Rasmus T., 2017. "A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation," Journal of Econometrics, Elsevier, vol. 198(1), pages 10-28.
  17. Zhang, Chuanhai & Ma, Huan & Liao, Xiaosai, 2023. "Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
  18. Lavička, H. & Lichard, T. & Novotný, J., 2016. "Sand in the wheels or wheels in the sand? Tobin taxes and market crashes," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 328-342.
  19. Jorge M. Uribe, 2018. "“Scaling Down Downside Risk with Inter-Quantile Semivariances”," IREA Working Papers 201826, University of Barcelona, Research Institute of Applied Economics, revised Oct 2018.
  20. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Econometric modeling of exchange rate volatility and jumps," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427, Edward Elgar Publishing.
  21. Alessandro Casini, 2018. "Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework," Papers 1803.10883, arXiv.org, revised Dec 2018.
  22. Li, Jia & Todorov, Viktor & Tauchen, George, 2016. "Inference theory for volatility functional dependencies," Journal of Econometrics, Elsevier, vol. 193(1), pages 17-34.
  23. Li, Meiyu & Gençay, Ramazan & Xue, Yi, 2016. "Is it Brownian or fractional Brownian motion?," Economics Letters, Elsevier, vol. 145(C), pages 52-55.
  24. Erdemlioglu, Deniz & Laurent, Sébastien & Neely, Christopher J., 2015. "Which continuous-time model is most appropriate for exchange rates?," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 256-268.
  25. Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan, 2020. "Jump Risk in the US Financial Sector," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 331-349, September.
  26. F. Lilla, 2016. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models," Working Papers wp1084, Dipartimento Scienze Economiche, Universita' di Bologna.
  27. Laurent, Sébastien & Lecourt, Christelle & Palm, Franz C., 2016. "Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 383-400.
  28. Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2017. "Realized stochastic volatility with general asymmetry and long memory," Journal of Econometrics, Elsevier, vol. 199(2), pages 202-212.
  29. Kam Fong Chan & Phil Gray & Zheyao Pan, 2021. "The profitability of trading on large Lévy jumps," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 627-635, June.
  30. Alexeev, Vitali & Dungey, Mardi & Yao, Wenying, 2017. "Time-varying continuous and jump betas: The role of firm characteristics and periods of stress," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 1-19.
  31. Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying, 2013. "The leverage effect puzzle: Disentangling sources of bias at high frequency," Journal of Financial Economics, Elsevier, vol. 109(1), pages 224-249.
  32. Zhylyevskyy, Oleksandr, 2012. "Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications," Staff General Research Papers Archive 35559, Iowa State University, Department of Economics.
  33. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2014. "Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data," Working Papers 2014-12, University of Tasmania, Tasmanian School of Business and Economics.
  34. Maciej Kostrzewski, 2015. "Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(1), pages 43-70, March.
  35. Prosper Dovonon & Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2019. "Bootstrapping High-Frequency Jump Tests," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 793-803, April.
  36. Rossella Agliardi & Ramazan Gençay, 2017. "Optimal Trading Strategies With Limit Orders," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-16, February.
  37. Benoît Sévi & César Baena, 2011. "Brownian motion vs. pure-jump processes for individual stocks," Economics Bulletin, AccessEcon, vol. 31(4), pages 3138-3152.
  38. Bent Jesper Christensen & Rasmus Tangsgaard Varneskov, 2021. "Dynamic Global Currency Hedging [Arbitrage in the Foreign Exchange Market: Turning on the Microscope]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 97-127.
  39. 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.
  40. Keshab Shrestha, 2021. "Multifractal Detrended Fluctuation Analysis of Return on Bitcoin," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 312-323, March.
  41. Benjamin Bruder & Nazar Kostyuchyk & Thierry Roncalli, 2022. "Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia," Papers 2202.10721, arXiv.org.
  42. Kwok, Simon, 2020. "Nonparametric Inference of Jump Autocorrelation," Working Papers 2020-09, University of Sydney, School of Economics, revised Jan 2021.
  43. Liu, Qiang & Liu, Yiqi & Liu, Zhi, 2018. "Estimating spot volatility in the presence of infinite variation jumps," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 1958-1987.
  44. F. Lilla, 2017. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed," Working Papers wp1099, Dipartimento Scienze Economiche, Universita' di Bologna.
  45. Duong, Diep & Swanson, Norman R., 2015. "Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction," Journal of Econometrics, Elsevier, vol. 187(2), pages 606-621.
  46. Ahdi Noomen Ajmi & Roula Inglesi-Lotz, 2021. "Revisiting the Kuznets Curve Hypothesis for Tunisia: Carbon Dioxide vs. Ecological Footprint," Working Papers 202171, University of Pretoria, Department of Economics.
  47. Vortelinos, Dimitrios I., 2014. "Optimally sampled realized range-based volatility estimators," Research in International Business and Finance, Elsevier, vol. 30(C), pages 34-50.
  48. Hiroyuki Kawakatsu, 2022. "Local projection variance impulse response," Empirical Economics, Springer, vol. 62(3), pages 1219-1244, March.
  49. 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.
  50. Lars Winkelmann, 2013. "Quantitative forward guidance and the predictability of monetary policy - A wavelet based jump detection approach -," SFB 649 Discussion Papers SFB649DP2013-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  51. Vitali Alexeev & Mardi Dungey, 2015. "Equity portfolio diversification with high frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1205-1215, July.
  52. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
  53. Mohammad Abu Sayeed & Mardi Dungey & Wenying Yao, 2018. "High-frequency Characterisation of Indian Banking Stocks," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 213-238, August.
  54. Leonidas S. Rompolis & Elias Tzavalis, 2017. "Retrieving risk neutral moments and expected quadratic variation from option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 955-1002, May.
  55. Wenying Yao & Mardi Dungey & Vitali Alexeev, 2020. "Modelling Financial Contagion Using High Frequency Data," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 314-330, September.
  56. Jerome L Kreuser & Didier Sornette, 2017. "Super-Exponential RE Bubble Model with Efficient Crashes," Swiss Finance Institute Research Paper Series 17-33, Swiss Finance Institute.
  57. Trabs, Mathias, 2015. "Quantile estimation for Lévy measures," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3484-3521.
  58. 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.
  59. Zhi Liu, 2017. "Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations," Finance and Stochastics, Springer, vol. 21(2), pages 427-469, April.
  60. Kolokolov, Aleksey & Livieri, Giulia & Pirino, Davide, 2018. "Statistical inferences for price staleness," SAFE Working Paper Series 236, Leibniz Institute for Financial Research SAFE.
  61. Zhang, Chuanhai & Liu, Zhi & Liu, Qiang, 2021. "Jumps at ultra-high frequency: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  62. Sun, Yucheng & Xu, Wen & Zhang, Chuanhai, 2023. "Identifying latent factors based on high-frequency data," Journal of Econometrics, Elsevier, vol. 233(1), pages 251-270.
  63. Yao, Wenying & Tian, Jing, 2015. "The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements," Working Papers 2015-05, University of Tasmania, Tasmanian School of Business and Economics.
  64. Ulrich Hounyo & Rasmus T. Varneskov, 2015. "A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation," CREATES Research Papers 2015-26, Department of Economics and Business Economics, Aarhus University.
  65. Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk, 2010. "Midquotes or Transactional Data? The Comparison of Black Model on HF Data," Working Papers 2010-15, Faculty of Economic Sciences, University of Warsaw.
  66. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
  67. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
  68. Maciej Kostrzewski, 2014. "Bayesian DEJD model and detection of asymmetric jumps," Papers 1404.2050, arXiv.org.
  69. Mykland, Per A. & Zhang, Lan, 2016. "Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price," Journal of Econometrics, Elsevier, vol. 194(2), pages 242-262.
  70. Dang, D.M. & Forsyth, P.A., 2016. "Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach," European Journal of Operational Research, Elsevier, vol. 250(3), pages 827-841.
  71. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
  72. Cheng, Mingmian & Swanson, Norman R. & Yang, Xiye, 2021. "Forecasting volatility using double shrinkage methods," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 46-61.
  73. Dolinsky, Yan & Soner, H. Mete, 2015. "Martingale optimal transport in the Skorokhod space," Stochastic Processes and their Applications, Elsevier, vol. 125(10), pages 3893-3931.
  74. Guangying Liu & Meiyao Liu & Jinguan Lin, 2022. "Testing the volatility jumps based on the high frequency data," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(5), pages 669-694, September.
  75. Noh, Jungsik & Lee, Seung Y. & Lee, Sangyeol, 2012. "Quantile regression estimation for discretely observed SDE models with compound Poisson jumps," Economics Letters, Elsevier, vol. 117(3), pages 734-738.
  76. 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.
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