The technique of using densities and conditional distributions to carry out consistent specification testing and model selection amongst multiple diffusion processes have received considerable attention from both financial theoreticians and empirical econometricians over the last two decades....

We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Aït-Sahalia and Jacod (2009a,b,c) to examine the importance of jumps, and in particular “large" and “small" jumps, using high frequency price returns on 25 stocks in the DOW 30 and S&P futures index....

The topic of volatility measurement and estimation is central to …nancial and more generally time series econo- metrics. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical …ndings from the literature. In...

Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a number of recent papers have addressed volatility...